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       T R O U B L E D   C O M P A N Y   R E P O R T E R

                          E U R O P E

          Tuesday, July 7, 2020, Vol. 21, No. 135

                           Headlines



E S T O N I A

ODYSSEY EUROPE: Moody's Cuts CFR to Caa1 & Alters Outlook to Neg.


F R A N C E

TECHNICOLOR SA: S&P Lowers ICR to 'CC' on Debt to Equity Swap


G E R M A N Y

AKKUMULATORENFABRIK MOLL: Enters Insolvency Proceedings
DGH GROUP: Starts Insolvency Process on Low Demand
NAGEL AUCTION: Begins Insolvency Process; Remains Operating
WIRECARD AG: German Prosecutors Arrest Head of Dubai Subsidiary
[*] GERMANY: Companies Fear for Survival Amid Coronavirus Crisis



I R E L A N D

AURIUM CLO VI: Fitch Gives BB-sf Rating on Class E Notes
AURIUM CLO VI: S&P Assigns BB- Rating on Class E Notes
BARINGS EURO 2014-1: Moody's Confirms B2 Rating on Cl. F-RR Notes
BARINGS EURO 2018-1: Moody's Confirms B1 Rating on Cl. F Notes
CASTLE PARK: Fitch Raises Rating on Class D Debt to 'BB+sf'

MADISON PARK XII: Fitch Cuts Rating on Class F Debt to B-sf
NORTHWOODS CAPITAL 21: Moody's Assigns (P)B3 Rating on Cl. F Notes
NORTHWOODS CAPITAL 21: S&P Assigns Prelim. B- Rating on F Notes
TIKEHAU CLO II: Moody's Cuts Rating on Class F Notes to Caa1


I T A L Y

A-BEST 14: DBRS Confirms BB(low) Rating on Class E Notes
ALBA 11 SPV: DBRS Assigns BB(high) Rating on Class C Notes
ATLANTIA SPA: Fitch Keeps 'BB' Rating on EUR10BB Note on Watch Neg.
GOLDEN BAR 2016-1: DBRS Confirms BB Rating on Class D Notes
SIENA PMI 2016: DBRS Confirms CC Rating on Class D Notes



L U X E M B O U R G

4FINANCE HOLDING: Moody's Places B2 CFR on Review for Downgrade


N E T H E R L A N D S

JUBILEE CLO 2014-XII: Fitch Cuts Rating on Class E-R Debt to 'BB-'
MEDIARENA ACQUISITION: Moody's Withdraws Caa1 CFR on Repayment


P O R T U G A L

HIPOTOTTA PLC 5: S&P Affirms 'CCC-' Rating on Class F Notes


R U S S I A

DME LIMITED: Moody's Confirms 'Ba1' CFR, Outlook Negative
EUROINS LTD: Fitch Assigns 'B' Insurer Financial Strength Rating
LSR GROUP: Fitch Affirms B+ LongTerm IDR, Outlook Stable


S P A I N

BANKINTER 13: S&P Lowers Rating on Class D Notes to 'BB'
CAIXABANK CONSUMO 5: DBRS Finalizes B(low) Rating on B Notes
CAIXABANK PYMES 8: DBRS Confirms CCC(low) Rating on Series B Notes
FCC AQUALIA: Fitch Alters Outlook on BB+ LT IDR to Positive


S W E D E N

CORRAL PETROLEUM: Fitch Withdraws 'B-' LongTerm IDR


U N I T E D   K I N G D O M

EUNETWORKS HOLDINGS 2: Moody's Alters Outlook on B2 CFR to Stable
FLIGHT RECLAIM: Enters Administration Due to Coronavirus Pandemic
INTU PROPERTIES: CEO Steps Down Following Administration
ONEWEB: Britain, Bharti Global to Acquire Business
SAGA PLC: Moody's Cuts CFR & Senior Unsecured Rating to B1

[*] DBRS Puts 56 Ratings of 17 European RMBS Trans on Review Neg.

                           - - - - -


=============
E S T O N I A
=============

ODYSSEY EUROPE: Moody's Cuts CFR to Caa1 & Alters Outlook to Neg.
-----------------------------------------------------------------
Moody's Investors Service has downgraded Odyssey Europe Holdco
S.a.r.l.'s Corporate Family Rating to Caa1 from B2 and its
Probability of Default Rating to Caa1-PD from B2-PD. Concurrently,
Moody's also downgraded the instrument ratings on the senior
secured notes due 2023 to Caa1 from B2. At the same time, Moody's
has changed the outlook to negative from ratings on review. This
concludes the review process initiated on March 27, 2020.

RATINGS RATIONALE

Its rating action reflects Olympic's aggressive financial policy.
This is evidenced by the EUR23.5 million dividend paid at the peak
of the coronavirus sanitary crisis, which followed dividends
already paid in January and June 2019 totaling EUR30 million. Funds
to pay for this additional dividend were previously earmarked for
the Enova acquisition, which the company decided it would no longer
pursue. In addition, the company announced [1] that it has
transferred its online and Lithuanian land-based businesses to
outside the restricted group shortly after the resumption of its
operations. These assets were independently valued at EUR18.4
million, and yet they respectively generated revenue before gaming
taxes of EUR25 million and EUR17.5 million in 2019[2].

The company cited the future cash burn of the two businesses and
the shareholders' willingness to safeguard liquidity as the
rationale for these transactions, but these transactions were
undertaken despite still some uncertainty regarding Olympic's
future profitability, amid the unprecedented crisis caused by
coronavirus and related lockdown measures. There is very little
transparency with regards to the assumptions that were used in the
valuation of the assets. In Moody's view, these transactions raise
questions about the company's corporate governance and in
particular the company's financial strategy and risk management as
per Moody's corporate governance framework [3].

Olympic's online and Lithuanian land-based operations were
transferred to Olybet Lux Holding Sarl, an unrestricted subsidiary.
Olybet's shares were subsequently distributed to Odyssey Europe
Topco Sarl, the company's direct parent sitting above, and also
outside the restricted group. Moody's understands that the asset
transfer was allowed by the EUR25 million permitted investment
provision of the SSNs indenture.

In contrast, Moody's positively views the re-opening of the
company's operations in all of its markets, including online gaming
in Latvia. This is reinforced by the higher than initially
anticipated performance in its main countries of operation with
gross gaming revenues at 10-15% below the same period last year.
Moody's also considers a credit positive, the material reduction in
the monthly cash burn (including interest accruals) during the
lockdown period to EUR3 million from EUR12 million before the
mitigating measures, mainly coming from reductions in personnel and
lease expenses. Overall, the the total cash burn in April and May
2020 was EUR16.1 million, of which EUR8.0 million reflected
interest paid on 15th May.

LIQUIDITY PROFILE

Olympic has adequate liquidity, including EUR30.5 million of cash
on balance sheet as of 31st May 2020. This cash balance includes
Olympic's full drawdown on its EUR25 million revolving credit
facility which is due in December 2022. The RCF documentation
contains a springing financial covenant based on a super senior net
leverage set at 0.79x and tested on a quarterly basis when the RCF
is drawn by more than 35%. Moody's expects Olympic will maintain
adequate headroom under this covenant based on the net cash
position at the super senior level as of May 31, 2020. Moody's also
expects slightly positive free cash flow in the coming quarters,
assuming the recent trend in gross gaming revenue continues. A
breach in this covenant, if not cured, would result in an event of
default.

STRUCTURAL CONSIDERATIONS

Using Moody's Loss Given Default for Speculative-Grade Companies
methodology, the PDR is Caa1-PD, in line with the CFR, reflecting
Moody's assumption of a 50% recovery rate as is customary for
capital structures including notes and bank debt. The senior
secured notes are rated Caa1 in line with the CFR due to a limited
amount of RCF which has priority over the proceeds in an
enforcement under the Intercreditor Agreement.

RATING OUTLOOK

The negative outlook reflects Moody's concerns about Olympic's
corporate governance and in particular the company's financial
strategy and risk management as per Moody's corporate governance
framework. Moody's assumes that the financial policy will continue
to put the interests of shareholders above those of creditors.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Positive pressure on the rating is unlikely in the near-term, but
could occur if (i) there is a proven commitment to more
conservative financial policies; (ii) the company diversifies its
geographical presence outside Latvia; and (iii) free cash flow
remains consistently above 5% of Moody's-adjusted debt while the
company maintains a good liquidity profile.

Negative pressure on the rating could occur if: (i) the financial
policy remains detrimental to creditors; (ii) the company faces
further unfavorable regulatory changes in its main country of
operations; (iii) liquidity deteriorates from current levels; or
(iv) there is evidence of further weak corporate governance
practices.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Gaming Industry
published in December 2017.

COMPANY PROFILE

Headquartered in Tallinn (Estonia), Olympic is a European gaming
group with leading positions in the Baltic region and operations in
Slovakia, Italy and Malta. It also operates an online gaming and
betting platform. As at March 31, 2020, the company had a total of
110 casinos (24 in Estonia, 51 in Latvia, 16 in Lithuania, 5 in
Slovakia, 13 in Italy and 1 in Malta). At the same date, Olympic
employed 2,638 employees across 6 countries. In 2019, Olympic
generated EUR205 million of revenue before gaming taxes and EBITDA
of EUR50 million. The company was acquired by Novalpina in 2018.




===========
F R A N C E
===========

TECHNICOLOR SA: S&P Lowers ICR to 'CC' on Debt to Equity Swap
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on French technology group
Technicolor S.A. and on its senior secured notes to 'CC' from
'CCC-' and placed them on CreditWatch with negative implications.

S&P Global Ratings views the proposed debt-to-equity swap as
equivalent to a default. S&P said, "We downgraded Technicolor
because its financial restructuring plan includes the issuance of
EUR420 million of new debt to repay the $110 million J.P. Morgan
bridge facility and to support Technicolor's liquidity needs, and
the conversion of up to EUR660 million of the term loan B and RCF
into equity. We would consider the latter as a distressed exchange,
and thus tantamount to default, because investors would receive
less value than the promise of the original securities."

S&P said, "We expect creditors and shareholders to approve the
transaction. The agreement in principle has already received the
support of 65.77% of the term loan B and RCF lenders. Only an
additional 1% of support will be required when the creditors'
committee votes on the plan on July 3, 2020. As a result, we expect
creditors to give their consent. The capital increase component
also needs to be approved by a two-thirds majority of shareholders
during the extraordinary shareholders' meeting on July 20. Given
the absence of other viable options--the ultimate alternative being
the sale of the company to its creditors--and the support of
BPIFrance, which holds 7.5% of the shares, we believe that
shareholders are also likely to vote in favor of the deal."

CreditWatch

S&P said, "The CreditWatch placement indicates that we will lower
the ratings on Technicolor to 'SD' and the ratings on the existing
senior secured debt facilities to 'D' when the group completes the
proposed debt-to-equity swap, likely in September 2020. Once the
company has raised new debt ahead of the swap, the material
subordination on the existing senior secured debt will weaken its
recovery prospects. This could cause us to revise down the '3'
recovery ratings and lower the issue ratings.

"In the less-likely case of lenders or shareholders
rejecting/stopping the deal, we would likely lower the issuer and
issue ratings to 'D'."




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G E R M A N Y
=============

AKKUMULATORENFABRIK MOLL: Enters Insolvency Proceedings
-------------------------------------------------------
Paul Crompton at Bestmag reports that German lead battery
manufacturer Akkumulatorenfabrik Moll has entered exploratory
discussions with potential investors after the COVID-19 pandemic
caused a fall in sales that led to the 75-year-old firm opening
insolvency proceedings.

"Sensitive discussions" with potential investors are taking place
with the goal of finding a rapid resolution in the interests of all
parties involved, said the company on June 18, Bestmag relays.

Akkumulatorenfabrik Moll GmbH & Co. KG was founded in 1947. The
Company's line of business includes the manufacturing of storage
batteries.


DGH GROUP: Starts Insolvency Process on Low Demand
--------------------------------------------------
Fastmarkets reports that German diecaster DGH Group has begun
insolvency proceedings, sources close to the matter said.

According to Fastmarkets, the insolvency action pertains to three
group companies - DGH Heidenau, DGH Hof and DGH ZIT - with
appointed insolvency administrator Franz-Ludwig Danko currently
considering potential restructuring options.

The company, headquartered in Donha, Germany, produces an estimated
70 million die-cast aluminium and magnesium automotive parts each
year, supplying carmakers including BMW, Volkswagen, Porsche and
Audi.

But with automotive demand unprecedentedly low amid the ongoing
global Covid-19 pandemic, the secondary aluminium supply chain has
almost ground to a halt, forcing many carmakers, diecasters and
smelters to take dramatic measures to stay afloat, the report
says.


NAGEL AUCTION: Begins Insolvency Process; Remains Operating
-----------------------------------------------------------
Jonathan Franks at Antiques Trade Gazette reports that Nagel in
Stuttgart, which has been trading since 1922, has been so severely
affected by the coronavirus lockdown that it has begun an
insolvency process.

It applied to the local district court on June 17 to register the
start of a self-administered restructuring process under German
insolvency law, the report says.

In contrast to a normal insolvency, this legal mechanism enables
the management to stay in position and carry out the restructuring
itself, with the assistance of an external court-appointed trustee,
an experienced legal advisor, a so-called Sachwalter, specialized
in such cases.

"Consignors have no cause for concern, all monies are safe," the
report quotes managing director Philipp von Hutten, who has run the
firm since 2017, as saying. "We are confident that the
restructuring will be brought to a successful conclusion," he
added.

Antiques Trade Gazette says the company will continue to trade and
all auctions planned will still take place.

It has stressed that the proceeds of sales will not be used to
settle debts, but will be paid into an escrow account, administered
by the trustee.

According to the report, the firm has focused on the sale of
Chinese works of art and a downturn in bidders from Asia has
contributed to its financial situation. It was not able to hold its
usual Asian art spring sales due to the coronavirus pandemic.

Bidders from the Far East, in particular Hong Kong, Taiwan and
mainland China, regularly spent six and seven figure amounts at the
firm. Last year, about two thirds of the firm's EUR20 million
turnover were generated by the auctions of Asian art.

Among the sales in the pipeline is its prestige Asian art sale on
September 30 which will go ahead, it said, the report adds.


WIRECARD AG: German Prosecutors Arrest Head of Dubai Subsidiary
---------------------------------------------------------------
Douglas Busvine and Joern Poltz at Reuters report that German
prosecutors said on July 6 they had arrested the head of a
Dubai-based subsidiary of Wirecard, widening the circle of suspects
in a multi-billion-dollar fraud investigation into the collapse of
the payments company.

The Munich prosecutor's office said in a statement it had
questioned the chief executive of Cardsystems Middle East FZ-LLC
earlier in the day and arrested him on the basis of a warrant,
Reuters relates.

The executive had travelled from Dubai and turned himself in,
prosecutors, as cited by Reuters, said, without naming him.

According to Reuters, prosecutors said the arrest was made on
suspicion of conspiracy to commit fraud, attempted fraud and aiding
and abetting other crimes.  Prosecutors fear there was a risk that
he would flee or tamper with evidence, Reuters notes.

Wirecard filed for insolvency last month owing creditors almost
US$4 billion after disclosing a EUR1.9 billion (US$2.1 billion)
hole in its accounts that its auditor EY said was the result of a
sophisticated global fraud, Reuters recounts.


[*] GERMANY: Companies Fear for Survival Amid Coronavirus Crisis
----------------------------------------------------------------
Michelle Martin at Reuters reports that around one fifth of German
companies (21%) believe their survival is threatened by the
coronavirus crisis, Germany's Ifo institute said, with travel
agents, hotels and restaurants particularly concerned.

"We could see a wave of insolvencies in the coming months," Reuters
quotes Ifo researcher Stefan Sauer as saying.




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I R E L A N D
=============

AURIUM CLO VI: Fitch Gives BB-sf Rating on Class E Notes
--------------------------------------------------------
Fitch Ratings has assigned final ratings to Aurium CLO VI DAC.

Aurium CLO VI DAC  

  - Class A; LT AAAsf New Rating

  - Class B; LT AAsf New Rating

  - Class C; LT Asf New Rating

  - Class D; LT BBB-sf New Rating

  - Class E; LT BB-sf New Rating

  - Subordinated; LT NRsf New Rating

TRANSACTION SUMMARY

Aurium CLO VI DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Note proceeds
have been used to fund a portfolio with a target par of EUR225
million. The portfolio is actively managed by Spire Management
Limited. The collateralised loan obligation has a 2.9-year
reinvestment period and a 7.0-year weighted average life.

KEY RATING DRIVERS

'B' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B' category. The Fitch weighted average
rating factor of the identified portfolio is 32.17, below the
maximum WARF covenant for assigning final ratings of 38.

High Recovery Expectations: At least 90% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch weighted average recovery
rate of the identified portfolio is 66.07%, above the minimum WARR
covenant for assigning expected ratings of 64.0%.

Diversified Asset Portfolio: The transaction will have several
Fitch test matrices corresponding to two top 10 obligors'
concentration limits and two fixed-rate assets buckets. The manager
can interpolate within and between two matrices. The transaction
also includes various concentration limits, including the maximum
exposure to the three largest (Fitch-defined) industries in the
portfolio at 40%. These covenants ensure the asset portfolio will
not be exposed to excessive concentration.

Portfolio Management: The transaction has a 2.9-year reinvestment
period and includes reinvestment criteria similar to those of other
European transactions. Fitch's analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the transaction
structure against its covenants and portfolio guidelines.

Cash Flow Analysis: Fitch used a customised proprietary cash flow
model to replicate the principal and interest waterfalls and the
various structural features of the transaction, and to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

A 25% default multiplier applied to the portfolio's mean default
rate, with this subtracted from all rating default levels, and a
25% increase of the recovery rate at all rating recovery levels,
would lead to an upgrade of up to five notches for the rated notes,
except for the class A as these notes' ratings are at the highest
level on Fitch's scale and cannot be upgraded. The transaction has
a reinvestment period and the portfolio is actively managed.

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stressed Portfolio) that is customised to the specific portfolio
limits for the transaction as specified in the transaction
documents. Even if the actual portfolio shows lower defaults and
losses (at all rating levels) than Fitch's Stressed Portfolio
assumed at closing, an upgrade of the notes during the reinvestment
period is unlikely, as the portfolio credit quality may still
deteriorate, not only through natural credit migration, but also
through reinvestments. After the end of the reinvestment period,
upgrades may occur in case of a better than initially expected
portfolio credit quality and deal performance, leading to higher
credit enhancement for the notes and excess spread available to
cover for losses on the remaining portfolio.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

A 125% default multiplier applied to the portfolio's mean default
rate, with the increase added to all rating default levels, and a
25% decrease of the recovery rate at all rating recovery levels,
would lead to a downgrade of up to five notches for the rated
notes.

Downgrades may occur if the build-up of credit enhancement for the
notes following amortisation does not compensate for a higher loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to the coronavirus disruption become apparent
for other vulnerable sectors, loan ratings in those sectors would
also come under pressure. Fitch will update the sensitivity
scenarios in line with the view of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact:

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. The agency notched down
the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience of the
final ratings, with substantial cushion across rating scenarios.

Fitch also considered the possibility that the stress portfolio,
determined by the transaction's covenants, would further
deteriorate due to the impact of coronavirus mitigation measures.
Fitch believes this risk is adequately addressed by the inclusion
of the downwards notching by a single rating notch of all
collateral obligations on Negative Outlook for the purpose of
determining compliance to Fitch WARF at the effective date.

Coronavirus Downside Sensitivity:

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before a halting recovery begins
in 2Q21. The downside sensitivity incorporates a single-notch
downgrade to all Fitch-derived ratings in the 'B' rating category
and applying a 0.85 recovery rate multiplier to all other assets in
the portfolio. Under this downside scenario, the ratings would be
one to four notches below the current ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

Most of the underlying assets have ratings or credit opinions from
Fitch and/or other nationally recognised statistical rating
organisations and/or European Securities and Markets
Authority-registered rating agencies. Fitch has relied on the
practices of the relevant groups within Fitch and/or other rating
agencies to assess the asset portfolio information. Overall,
Fitch's assessment of the asset pool information relied on for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


AURIUM CLO VI: S&P Assigns BB- Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Aurium CLO VI
DAC's class A, B, C, D, and E notes. The issuer has also issued
unrated subordinated notes.

Aurium CLO VI is a European cash flow CLO securitization of a
revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by speculative-grade borrowers. Spire
Management Ltd. manages the transaction.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following this,
the notes will switch to semiannual payment.

The portfolio's reinvestment period will end approximately three
years after closing, and the portfolio's maximum average maturity
date will be seven years after closing.

The ratings assigned to the notes reflect S&P's assessment of:

-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans and
bonds that are governed by collateral quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which S&P considers to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P considers to be
in line with its counterparty rating framework.

  Portfolio Benchmarks
                                                      Current
  S&P Global Ratings weighted-average rating factor   2751.89
  Default rate dispersion                              554.33
  Weighted-average life (years)                          5.33
  Obligor diversity measure                             77.51
  Industry diversity measure                            19.68
  Regional diversity measure                             1.29

  Transaction Key Metrics
                                                      Current
  Portfolio weighted-average rating derived
    from S&P's CDO evaluator                              'B'
  'CCC' category rated assets (%)                        2.66
  Covenanted 'AAA' weighted-average recovery (%)        35.68
  Covenanted weighted-average spread (%)                 3.65
  Covenanted weighted-average coupon (%)                 3.50

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio will be well-diversified on the
effective date, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we conducted our credit and cash flow analysis by
applying our criteria for corporate cash flow collateralized debt
obligations.

"In our cash flow analysis, we used the EUR225 million par amount,
the covenanted weighted-average spread of 3.65%, the covenanted
weighted-average coupon of 3.50%, and the covenanted
weighted-average recovery rates for all rating levels. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category. Our cash flow
analysis also considers scenarios where the underlying pool
comprises 100% of floating-rate assets (i.e., the fixed-rate bucket
is 0%) and where the fixed-rate bucket is fully utilized (in this
case 10%)."

The transaction includes a turbo overcollateralization (O/C) test.
When the most junior class E O/C test is breached, up to 50% of
available interest proceeds after paying the class E notes'
deferred interest is used to cure the test by paying down the class
E notes rather than the senior notes. S&P said, "Compared to a
transaction where there is no class E or class E O/C test, this
feature does not, in our opinion, affect the senior noteholders.
However, it may provide less protection to senior noteholders when
compared to a standard class E O/C test, which pays down the notes
in sequential manner. We have taken this into account in our cash
flow analysis."

S&P said, "We note the difference between this turbo O/C test and
the other type of turbo redemption feature (also known as "variable
amortizing notes") we have seen in recent transactions. In the
latter, interest proceeds used to redeem the most junior notes are
made only after the cure of the most junior O/C test (in accordance
with the note payment sequence starting from the most senior
noteholders) and reinvestment O/C test."

This transaction also features a principal transfer test. Following
the expiry of the non-call period, and following the cure of the
class E O/C test, interest proceeds above 105% of the class E
interest coverage amount can be paid into either the principal
and/or supplemental reserve account. The amounts in the
supplemental reserve account could be used for purposes other than
to purchase new collateral for example to make distributions to
equity. This feature may therefore reduce the amount of interest
proceeds available to cure the reinvestment O/C test, which is
junior to this item in the interest waterfall. S&P has taken this
into account in its cash flow analysis by assuming that such
amounts will be paid to equity.

S&P said, "We consider that the transaction's documented
counterparty replacement and remedy mechanisms adequately mitigates
its exposure to counterparty risk under our current counterparty
criteria.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at the assigned ratings, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria.

"We consider the transaction's legal structure to be bankruptcy
remote, in line with our legal criteria.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B to E notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

"In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our ratings are
commensurate with the available credit enhancement for the class A,
B, C, D, and E notes.

"In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
corporate loan issuers, and in line with paragraph 15 of our global
corporate CLO criteria, we have considered a minimum cushion
between the break-even default rate (BDR) and the scenario default
rate (SDR) of 1%."

S&P's application of a 1% cushion was motivated by the following
factors:

-- The percentage of the underlying portfolio comprising obligors
that are rated 'B-', in the 'CCC' rating category, on CreditWatch
negative, or on negative outlook.

-- The portfolio has less exposure to assets in the 'CCC' rating
category compared to the average of European CLOs.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on all classes
of notes to five of the 10 hypothetical scenarios we looked at in
our recent publication."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

  Ratings List

  Class    Rating     Amount     Credit           Interest rate*  

                      (mil. EUR)  enhancement (%)    

  A        AAA (sf)   124.75      44.56    Three/six-month EURIBOR

                                              plus 1.90%

  B        AA (sf)     25.50      33.22    Three/six-month EURIBOR

                                              plus 2.20%

  C        A (sf)      16.00      26.11    Three/six-month EURIBOR

                                              plus 2.80%

  D        BBB (sf)    13.20      20.24    Three/six-month EURIBOR

                                              plus 4.31%

  E        BB- (sf)    10.50      15.58    Three/six-month EURIBOR

                                              plus 7.00%

  Subordinated  NR     27.00       N/A     N/A

* The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


BARINGS EURO 2014-1: Moody's Confirms B2 Rating on Cl. F-RR Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Barings Euro CLO 2014-1 B.V.:

EUR20.9 million Class D-RR Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Baa2 (sf); previously on Apr 20, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR31.5 million Class E-RR Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Ba2 (sf); previously on Apr 20, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR13.9 million Class F-RR Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at B2 (sf); previously on Apr 20, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR232.0 million Class A-RR Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Jul 16, 2018 Definitive
Rating Assigned Aaa (sf)

EUR15.7 million Class B-1-RR Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 16, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR30.0 million Class B-2-RR Senior Secured Fixed Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 16, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR24.7 million Class C-RR Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Jul 16, 2018
Definitive Rating Assigned A2 (sf)

Barings Euro CLO 2014-1 B.V., issued in April 2014 and refinanced
in July 2018, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Barings (U.K.) Limited. The transaction's
reinvestment period will end in July 2022.

RATINGS RATIONALE

The action concludes the rating review on the Classes D-RR, E-RR
and F-RR notes initiated on April 20, 2020 as a result of the
deterioration of the credit quality and/or the reduction of the par
amount of the portfolio following from the coronavirus outbreak.

Stemming from the coronavirus outbreak, the credit quality of the
portfolio has deteriorated as reflected in the increase in Weighted
Average Rating Factor (WARF) and of the proportion of securities
from issuers with ratings of Caa1 or lower. WARF has worsened by
about 19.6% to 3607[1] from 3015[2] in November 2019 and is now
above the reported covenant of 3300[1]. Securities with default
probability ratings of Caa1 or lower currently make up
approximately 12.2% of the underlying portfolio, triggering the
application of an over-collateralisation (OC) haircut to the
computation of the OC tests. Consequently, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report dated May 2020 [1] the
Class A/B, Class C, Class D, Class E, and Class F OC ratios are
reported at 139.4%, 128.0%, and 119.7%, 109.1%, 105.0% compared to
November 2019[2] levels of 145.4%, 133.6%, 124.9%, 113.8%, and
109.6% respectively. Moody's notes that none of the OC tests are
currently in breach and the transaction remains in compliance with
the following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

Despite the increase in the WARF, Moody's concluded that the
expected losses on all the rated notes remain consistent with their
current ratings following the analysis of the CLO's latest
portfolio and taking into account the recent trading activities as
well as the full set of structural features of the transaction.
Consequently, Moody's has confirmed the ratings on the Class D-RR,
E-RR and F-RR notes and affirmed the ratings on the Class A-RR,
B-1-RR, B-2-RR, and C-RR notes.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 391.2 million,
defaulted par of EUR 16.9 million, a weighted average default
probability of 30.2% (consistent with a WARF of 3701 over 5.7
years), a weighted average recovery rate upon default of 44.2% for
a Aaa liability target rating, a diversity score of 57, a weighted
average spread of 3.79%, and a weighted average coupon of 5.37%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in global economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around its
forecasts is unusually high. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

Factors that would lead to an upgrade or downgrade of the ratings:

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by: (1) the manager's investment strategy and behaviour;
(2) divergence in the legal interpretation of CDO documentation by
different transactional parties because of embedded ambiguities;
and (3) the additional expected loss associated with hedging
agreements in this transaction which may also impact the ratings
negatively.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


BARINGS EURO 2018-1: Moody's Confirms B1 Rating on Cl. F Notes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued Barings Euro CLO 2018-1 B.V.:

EUR25,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa2 (sf); previously on Apr 20, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR27,500,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba2 (sf); previously on Apr 20, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

EUR15,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B1 (sf); previously on Apr 20, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR292,500,000 Class A Senior Secured Floating Rate Notes due 2031,
Affirmed Aaa (sf); previously on Mar 20, 2018 Definitive Rating
Assigned Aaa (sf)

EUR35,650,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Mar 20, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR33,350,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Mar 20, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR33,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Mar 20, 2018 Definitive
Rating Assigned A2 (sf)

Barings Euro CLO 2018-1 B.V., issued in March 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Barings (U.K.) Limited. The transaction's reinvestment
period will end in April 2022.

RATINGS RATIONALE

The action concludes the rating review on the Classes D, E and F
notes initiated on 20 April 2020 as a result of the deterioration
of the credit quality and/or the reduction of the par amount of the
portfolio following from the coronavirus outbreak.

Stemming from the coronavirus outbreak, the credit quality of the
portfolio has deteriorated as reflected in the increase in the
Weighted Average Rating Factor (WARF) and the proportion of
securities from issuers with ratings of Caa1 or lower. According to
the trustee report dated May 2020 [1], the WARF has worsened by
about 24% to 3667, from 2968 in January 2020 [2], and is currently
in breach of the covenant of 3206 [1]. Securities with ratings of
Caa1 or lower currently make up approximately 11.0% [1] of the
underlying portfolio, versus 4.1% in January 2020 [2].

In addition, the over-collateralisation (OC) levels have weakened
across the capital structure. According to the trustee report dated
May 2020 [1] the Class A/B, Class C, and Class D OC ratios are
reported at 133.6%, 122.2% and 114.9% compared to January 2020 [2]
levels of 139.2%, 127.4%, and 119.8% respectively. Moody's notes
none of the OC tests are currently in breach and the transaction
remains in compliance with the following collateral quality tests:
Diversity Score, Weighted Average Recovery Rate (WARR) and Weighted
Average Spread (WAS) and Weighted Average Life (WAL).

Despite the increase in the WARF and the par erosion, Moody's
concluded that the expected losses on the remaining rated notes
remain consistent with their current ratings following the analysis
of CLO's latest portfolio and taking into account the recent
trading activities as well as the full set of structural features
of the transaction. Consequently, Moody's has confirmed the ratings
on the Class D, E and F notes and affirmed the ratings on the Class
A, B-1, B-2 and C notes.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 489.1million,
defaults of EUR 13.9million, a weighted average default probability
of 30.9% (consistent with a WARF of 3775 over a weighted average
life of 5.8 years), a weighted average recovery rate upon default
of 45.2% for a Aaa liability target rating, a diversity score of 54
and a weighted average spread of 3.8%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

Its analysis has considered the effect of the coronavirus outbreak
on the global economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of corporate assets.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020.

Factors that would lead to an upgrade or downgrade of the ratings:

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by 1) the manager's investment strategy and behaviour
and 2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


CASTLE PARK: Fitch Raises Rating on Class D Debt to 'BB+sf'
-----------------------------------------------------------
Fitch Ratings has upgraded three tranches of Castle Park CLO DAC
and affirmed the other tranches.

Castle Park CLO Limited  

  - Class A-1-R XS1571957197; LT AAAsf; Affirmed

  - Class A-2A-R XS1571957510; LT AAAsf; Upgrade

  - Class A-2B-R XS1571957783; LT AAAsf; Upgrade

  - Class B-R XS1571957940; LT A+sf; Affirmed

  - Class C-R XS1571958161; LT BBB+sf; Affirmed

  - Class D XS1139269887; LT BB+sf; Upgrade

  - Class E XS1139270034; LT Bsf; Affirmed

TRANSACTION SUMMARY

The transaction is a cash flow CLO mostly comprising senior secured
obligations. The transaction is out of its reinvestment period and
the portfolio is currently amortising. It is managed by
Blackstone/GSO Debt Funds Management Europe Limited.

KEY RATING DRIVERS

Transaction Deleveraging

The upgrades reflect the significant deleveraging of the
transaction since its reinvestment period ended in January 2019.
The class A-1-R notes have paid-down EUR121.6 million over the last
12 months, increasing credit enhancement to 58.1% from 40.5%. The
upgrade also reflects a constraint on reinvestments from sale
proceeds of credit risk obligations, credit-improved obligations
and from unscheduled principal proceeds as the current weighted
average life test has been breached since April 2019. As of May 15,
2020, the portfolio had a WAL of 3.93 years against a current WAL
test of 3.84 years.

Portfolio Performance Resilient

The affirmations and upgrades reflect the resilience of the
portfolio's performance despite the negative rating migration of
the underlying assets in light of the COVID-19 pandemic. The
transaction is currently slightly below par value after taking into
account defaulted assets at Fitch recovery value (-0.5%). The Fitch
weighted average rating factor test was reported at 35.94 in the
May 15, 2020 trustee report against a maximum of 34. Fitch updated
calculation shows an increase to 36.6. 'CCC' category or below
assets represented 12.5% as of June 27, 2020, compared with the
7.5% limit. Assets with a Fitch-derived rating on Negative Outlook
represent 14.7% of the portfolio balance. The exposure to defaulted
assets is EUR1.6 million.

All other tests are passing, including the coverage tests,
collateral quality test (other than WAL test) and portfolio profile
tests.

'B'/'B-' Category Portfolio Credit Quality

Fitch assesses the average credit quality of obligors to be in the
'B'/'B-' category. The Fitch WARF of the current portfolio is 36.6.
Under the COVID-19 baseline scenario the Fitch WARF would increase
to 39.4.

High Recovery Expectations

Senior secured obligations comprise 96.6% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio by Fitch's
calculation is 64.9%.

Portfolio More Concentrated

The portfolio has become more concentrated as it continues to
amortise (by EUR122 million over the last 12 months) but remains
well diversified. The top 10 obligors' exposure is 19.4% and the
largest single obligor represents 2.2% of the portfolio balance.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on the stable, decreasing and rising interest-rate scenarios
and the front-, mid- and back-loaded default timing scenario as
outlined in Fitch's criteria. In addition, Fitch also tests the
current portfolio with a coronavirus sensitivity analysis to
estimate the resilience of the notes' ratings.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntary terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  - A reduction of the default rate at all rating levels by 25% of
the mean RDR and an increase in the recovery rate by 25% at all
rating levels would result in an upgrade of up to four notches
depending on the notes.

  - Except for the class A-1-R and A-2-R notes, which are already
at the highest 'AAAsf' rating, upgrades may occur in case of better
than expected portfolio credit quality and deal performance,
leading to higher credit enhancement and excess spread available to
cover for losses on the remaining portfolio. If the asset
prepayment speed is faster than expected and outweighs the negative
pressure of the portfolio migration, this could increase credit
enhancement and add upgrade pressure on the non-'AAAsf' rated
notes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  - An increase of the RDR at all rating levels by 25% of the mean
RDR and a decrease of the RRR by 25% at all rating levels will
result in downgrades of no more than five notches depending on the
notes.

  - Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for a larger loss
expectation than initially assumed due to unexpectedly high level
of default and portfolio deterioration.

As the disruptions to supply and demand due to COVID-19 become
apparent for other vulnerable sectors, loan ratings in those
sectors would also come under pressure. Fitch will update the
sensitivity scenarios in line with the view of its Leveraged
Finance team. Coronavirus Baseline Scenario Impact Fitch carried
out a sensitivity analysis on the current portfolio to envisage the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. They represent 14.7% of the portfolio
balance. This scenario shows resilience of the ratings of all the
classes of notes. This supports the affirmation and upgrades with
Stable Outlooks on all tranches.

Coronavirus Downside Scenario In addition to the base scenario
Fitch has defined a downside scenario for the current crisis,
whereby all ratings in the 'Bsf' category would be downgraded by
one notch and recoveries would be lower by a haircut factor of 15%.
This scenario would result in downgrades of up to four notches
depending on the notes.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to Fitch in relation to
this rating action.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognised Statistical Rating Organisations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


MADISON PARK XII: Fitch Cuts Rating on Class F Debt to B-sf
-----------------------------------------------------------
Fitch Ratings has taken rating actions on Madison Park Euro Funding
XII DAC, including the removal of Class D notes from Rating Watch
Negative.

Madison Park Euro Funding XII DAC  

  - Class A XS1861231667; LT AAAsf; Affirmed

  - Class B1 XS1861232046; LT AAsf; Affirmed

  - Class B2 XS1861235908; LT AAsf; Affirmed

  - Class C XS1861236039; LT Asf; Affirmed

  - Class D XS1861232806; LT BBB-sf; Downgrade

  - Class E XS1861233101; LT BB-sf; Downgrade

  - Class F XS1861233366; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

This is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still within its reinvestment
period and is actively managed by the collateral manager.

KEY RATING DRIVERS

Portfolio Deterioration

The transaction is below target par (-1.47%). The Fitch weighted
average rating factor test was reported at 34.69 in the June 12,
2020 trustee report, above the maximum covenant of 34.00. Fitch's
updated calculation as of June 27, 2020 shows an increase to 36.78
(assuming the 1.16% of unrated names as 'CCC'). With this updated
WARF level, the manager would not be able to move to another matrix
point without failing its collateral quality tests.

The 'CCC' category or below assets represent 7.43% of the portfolio
(8.59% including unrated names, which the agency conservatively
assumes as 'CCC', although the manager may classify them as 'B-'
for up to 10% of the portfolio) as of June 27, 2020, compared with
its 7.5% limit. Assets with a Fitch-derived rating on Negative
Outlook represent 31.28% of the portfolio balance. There are
EUR13,456,133 defaulted assets. All other tests, including the
overcollateralisation and interest coverage tests, were reported as
passing.

Asset Quality

'B'/'B-' Portfolio Credit Quality: Fitch considers the average
credit quality of obligors to be 'B'/'B-'. The Fitch-calculated
WARF of the portfolio is 36.78.

Asset Security

High Recovery Expectations: Senior secured obligations comprise
98.25% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch WARR of the current portfolio is
62.55%.

Portfolio Composition

The top 10 obligors' concentration is 13.08% and no obligor
represents more than 1.51% of the portfolio balance. By Fitch's
calculation, the largest industry is business services at 11.00% of
the portfolio balance, and the top three largest industries at
30.58%, against the limit of the largest industry at 17.5% and top
3 at 40.00%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, and to assess their effectiveness,
including the structural protection provided by excess spread
diverted through the par value and interest coverage tests. The
transaction was modelled using the current portfolio based on both
the stable and rising interest rate scenario and the front-, mid-
and back-loaded default timing scenario as outlined in Fitch's
criteria.

Fitch also tested the current portfolio with a coronavirus
sensitivity analysis to estimate the resilience of the notes'
ratings. The analysis for the portfolio with a coronavirus
sensitivity analysis was only based on the stable interest rate
scenario including all default timing scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, these scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans not assumed to default (or to be
voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortisation and ensures all the defaults projected to occur in
each rating stress are realised in a manner consistent with Fitch's
published default timing curve.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

At closing, Fitch used a standardised stress portfolio (Fitch's
Stress Portfolio) that is customised to the specific portfolio
limits for the transaction as specified in the transaction
documents. Even if the actual portfolio shows lower defaults and
smaller losses (at all rating levels) than Fitch's Stressed
Portfolio assumed at closing, an upgrade of the notes during the
reinvestment period is unlikely, as the portfolio's credit quality
may still deteriorate, not only through natural credit migration,
but also through reinvestments.

Upgrades may occur after the end of the reinvestment period in case
of better-than-expected portfolio credit quality and deal
performance, leading to higher credit enhancement and excess spread
available to cover for losses on the remaining portfolio. For more
information on Fitch's Stressed Portfolio and initial model-implied
rating sensitivities for the transaction, see the new issue
report.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for a larger loss
expectation than initially assumed due to unexpectedly high levels
of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 for other vulnerable sectors
become apparent, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact:

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the current ratings on the class A and B notes,
whereas classes C, D, E and F may erode quickly with a
deterioration of the portfolio, the use of Outlook Negative
reflects a higher resilience to downgrade than notes placed on
Rating Watch Negative. The class D note shows higher resilience to
further downgrade at the newly assigned 'BBB-' rating and,
therefore, has been placed on Negative Outlook as opposed to Rating
Watch Negative at its previous rating.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current crisis, whereby all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
15% lower. For typical European CLOs, this scenario results in a
rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

Most of the underlying assets or risk-presenting entities have
ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

Overall, Fitch's assessment of the asset pool information relied on
for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


NORTHWOODS CAPITAL 21: Moody's Assigns (P)B3 Rating on Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Northwoods
Capital 21 Euro DAC:

EUR106,000,000 Class A Senior Secured Floating Rate Notes due 2033,
Assigned (P)Aaa (sf)

EUR25,600,000 Class B Senior Secured Floating Rate Notes due 2033,
Assigned (P)Aa2 (sf)

EUR11,800,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2033, Assigned (P)A2 (sf)

EUR15,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2033, Assigned (P)Baa3 (sf)

EUR13,100,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2033, Assigned (P)Ba3 (sf)

EUR4,000,000 Class F Secured Deferrable Floating Rate Notes due
2033, Assigned (P)B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 90% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the 7-month ramp-up period in compliance with the portfolio
guidelines.

Northwoods European CLO Management LLC will manage the CLO. It will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's three-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations or credit improved obligations.

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR28,700,000 of Subordinated Notes due 2033
which are not rated.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in European economic activity in the second quarter and a gradual
recovery in the second half of the year.

However, that outcome depends on whether governments can reopen
their economies while also safeguarding public health and avoiding
a further surge in infections. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Factors that would lead to an upgrade or downgrade of the ratings:

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR202,000,000

Diversity Score: 37

Weighted Average Rating Factor (WARF): 3375

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 43%

Weighted Average Life (WAL): 7 years

Moody's has addressed the potential exposure to obligors domiciled
in countries with local currency ceiling of A1 or below. As per the
portfolio constraints and eligibility criteria, exposures to
countries with LCC below Aa3 cannot exceed 10% and obligors cannot
be domiciled in countries with LCC below A3.


NORTHWOODS CAPITAL 21: S&P Assigns Prelim. B- Rating on F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to
Northwoods Capital 21 Euro DAC's class A, B, C, D, E, and F notes.
At closing, the issuer will also issue unrated subordinated notes.

Northwoods Capital 21 is a European cash flow CLO securitization of
a revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by speculative-grade borrowers. Northwoods
European CLO Management LLC, a Delaware limited liability company,
which is a wholly owned subsidiary of Angelo, Gordon & Co., Gordon
L.P. will manage the transaction.

Under the transaction documents, the rated notes will pay quarterly
interest unless there is a frequency switch event. Following this,
the notes will switch to semiannual payment.

The portfolio's reinvestment period will end approximately three
years after closing, and the portfolio's maximum average maturity
date will be seven years after closing.

The preliminary ratings assigned to the notes reflect S&P's
assessment of:

-- The diversified collateral pool, which primarily comprises
broadly syndicated speculative-grade senior secured term loans and
bonds that are governed by collateral quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P expects to be
in line with S&P's counterparty rating framework.

  Portfolio Benchmarks
                                                       Current
  S&P Global Ratings weighted-average rating factor   2,779.23
  Default rate dispersion                               569.74
  Weighted-average life (years)                           5.77
  Obligor diversity measure                              75.80
  Industry diversity measure                             21.85
  Regional diversity measure                              1.24

  Transaction Key Metrics
                                                       Current
  Portfolio weighted-average rating derived
     from S&P's CDO evaluator                              'B'
  'CCC' category rated assets (%)                         3.59
  Covenanted 'AAA' weighted-average recovery (%)         36.42
  Covenanted weighted-average spread (%)                  3.55
  Covenanted weighted-average coupon (%)                  4.50

S&P said, "Our preliminary ratings reflect our assessment of the
preliminary collateral portfolio's credit quality, which has a
weighted-average rating of 'B'. We consider that the portfolio will
be well-diversified on the effective date, primarily comprising
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds. Therefore, we conducted our credit and cash
flow analysis by applying our criteria for corporate cash flow
collateralized debt obligations.

"In our cash flow analysis, we used the EUR202 million par amount,
the covenanted weighted-average spread of 3.55%, the covenanted
weighted-average coupon of 4.50%, and the covenanted
weighted-average recovery rates for all rating levels. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category. Our cash flow
analysis also considers scenarios where the underlying pool
comprises 100% of floating-rate assets (i.e., the fixed-rate bucket
is 0%) and where the fixed-rate bucket is fully utilized (in this
case 12.5%).

"We expect that the transaction's documented counterparty
replacement and remedy mechanisms will adequately mitigate its
exposure to counterparty risk under our current counterparty
criteria.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at the assigned preliminary ratings, as the exposure to
individual sovereigns does not exceed the diversification
thresholds outlined in our criteria.

"We expect the transaction's legal structure to be bankruptcy
remote, in line with our legal criteria.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B to F notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

"In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our preliminary
ratings are commensurate with the available credit enhancement for
the class A, B, C, D, E, and F notes.

"In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
corporate loan issuers, and in line with paragraph 15 of our global
corporate CLO criteria, we have considered a minimum cushion
between the break-even default rate (BDR) and the scenario default
rate (SDR) of 1%."

S&P's application of a 1% cushion was motivated by the following
factors:

-- The percentage of the underlying portfolio comprising obligors
that are rated 'B-', in the 'CCC' rating category, on CreditWatch
negative, or on negative outlook.

-- The portfolio has less exposure to assets in the 'CCC' rating
category compared to the average of European CLOs.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on all classes
of notes to five of the 10 hypothetical scenarios we looked at in
our recent publication.. The results are shown in the chart below.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class F notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

  Ratings List

  Class   Prelim.    Prelim.     Credit       Interest rate*     
          rating     amount      enhancement
                    (mil. EUR)   (%)
                  
  A       AAA (sf)    106.00     47.52    Three/six-month EURIBOR
                                            plus 1.50%
  B       AA (sf)     25.60      34.85    Three/six-month EURIBOR
                                            plus 2.20%
  C       A (sf)      11.80      29.01    Three/six-month EURIBOR
                                            plus 3.20%
  D       BBB (sf)    15.50      21.34    Three/six-month EURIBOR
                                            plus 4.50%
  E       BB- (sf)    13.10      14.85    Three/six-month EURIBOR
                                            plus 6.86%
  F       B- (sf)      4.00      12.87    Three/six-month EURIBOR
                                            plus 8.09%
  Sub     NR          28.70      N/A      N/A

* The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


TIKEHAU CLO II: Moody's Cuts Rating on Class F Notes to Caa1
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Tikehau CLO II B.V.:

EUR10,500,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2029, Downgraded to Caa1 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's has confirmed the ratings on the following notes:

EUR18,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR28,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Moody's has also affirmed the ratings on the following notes:

EUR244,000,000 Class A Senior Secured Floating Rate Notes due 2029,
Affirmed Aaa (sf); previously on Jul 5, 2019 Definitive Rating
Assigned Aaa (sf)

EUR46,000,000 Class B Senior Secured Floating Rate Notes due 2029,
Affirmed Aa2 (sf); previously on Jul 5, 2019 Affirmed Aa2 (sf)

EUR23,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029, Affirmed A2 (sf); previously on Jul 5, 2019 Definitive
Rating Assigned A2 (sf)

Tikehau CLO II B.V., issued in November 2016, is a collateralised
loan obligation backed by a portfolio of predominantly European
senior secured obligations. The portfolio is managed by Tikehau
Capital Europe Limited. The transaction's reinvestment period will
end in December 2020.

RATINGS RATIONALE

Its action concludes the rating review on the Class D, E and F
notes announced on June 3, 2020, "Moody's places ratings on 234
securities from 77 European CLOs on review for downgrade".

The credit quality of the portfolio has deteriorated as reflected
in the increase in the weighted average rating factor and an
increase in the proportion of securities from issuers with ratings
of Caa1 or lower. The reported WARF has worsened by about 13% to
3,300 [1] from 2,878 in November 2019 [2]. Securities with ratings
of Caa1 or lower currently make up approximately 3.94% of the
underlying portfolio, versus 1.51% in November 2019.

The over-collateralisation ratios of the rated notes have
deteriorated since November 2019. According to the trustee report
dated May 2020 [3], the Class A/B, Class C, Class D and Class E OC
ratios are reported at 135.62%, 125.66%, 118.82% and 109.56%
compared to November 2019 [4] levels of 137.12%, 127.04%, 120.13%
and 110.76%, respectively. Moody's notes none of the OC tests are
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate, Weighted Average Spread and Weighted Average
Life.

As a result of all of the foregoing, Moody's have downgraded the
Class F notes. Moody's however concluded that the expected losses
on remaining rated notes remain consistent with their current
ratings. Consequently, Moody's has affirmed the ratings of Classes
A, B and C and confirmed the ratings of Classes D and E.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR391.70 million,
defaults of EUR3.00 million a weighted average default probability
of 25.52% (consistent with a WARF of 3,397 over a weighted average
life of 4.76 years), a weighted average recovery rate upon default
of 44.7% for a Aaa liability target rating, a diversity score of 51
and a weighted average spread of 3.59%.

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

Its analysis has considered the effect of the coronavirus outbreak
on the global economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of corporate assets.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Counterparty Exposure:

Its rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

Factors that would lead to an upgrade or downgrade of the ratings:

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

  - Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  - Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.




=========
I T A L Y
=========

A-BEST 14: DBRS Confirms BB(low) Rating on Class E Notes
--------------------------------------------------------
DBRS Ratings GmbH took rating actions on the notes issued by
Asset-Backed European Securitization Transaction Fourteen S.r.l.
(A-BEST 14) as follows:

-- Class A Asset-Backed Fixed Rate Notes confirmed at AA (sf)

-- Class B Asset-Backed Fixed Rate Notes confirmed at A (sf)

-- Class C Asset-Backed Fixed Rate Notes confirmed at
    BBB (high) (sf)

-- Class D Asset-Backed Fixed Rate Notes confirmed at
    BB (high) (sf)

-- Class E Asset-Backed Fixed Rate Notes confirmed at
    BB (low) (sf)

-- Commingling Reserve Facility discontinued and withdrawn.

The ratings address the timely payment of interest and ultimate
payment of principal on or before the final legal maturity in April
2030.

These rating actions follow certain amendments to the transaction
executed and effective from June 26, 2020 (the amendments).

The rating actions follow an annual review of the transaction and
the discontinuation of the rating assigned to the Commingling
Reserve Facility was requested by the issuer following the full
repayment of the facility in the context of the amendments.

The ratings are based on the following analytical considerations:

-- The transaction capital structure, following the amendments
executed on 26 June 2020, including form and sufficiency of
available credit enhancement.

-- DBRS Morningstar's operational risk review on FCA Bank S.p.A.
(FCAB), which it deemed to be an acceptable in its roles.

-- DBRS Morningstar opinion of FCAB as originator and servicer and
its capabilities with respect to originations, underwriting,
servicing, and financial strength.

-- Portfolio performance, in terms of delinquencies, defaults, and
losses.

-- DBRS Morningstar's sovereign rating of Italy at BBB (high) with
a Negative trend.

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

-- No early termination event occurred.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology, the presence of legal opinions that
address the true sale of the assets to the Issuer and
nonconsolidation of the Issuer with the seller.

A-BEST 14, which closed in May 2016, is a securitization of a
portfolio of Italian auto loans originated and serviced by FCAB, a
joint venture that is 50% owned by FCA Group (Fiat-Chrysler
Automobiles) and 50% owned by Crédit Agricole Consumer Finance
S.A.

AMENDMENT

As mentioned, the rating actions follow amendments to the structure
executed and effective from June 26, 2020. The amendments include:

-- A six-month extension of the revolving period, scheduled to end
in December 2020;

-- Increase of the concentration limit of used vehicle loans to
20% from 16%;

-- Removal of the commingling reserve and the related facility
loan granted by FCAB on the July 2020 payment date.

-- Increase the repurchase limit, specified in Clause 16(a) (i) of
the Master Receivables Purchase Agreement, to 5% from 3% and in
Clause 16(a) (ii) to 7% from 5%.

PORTFOLIO PERFORMANCE

As of the June 2020 payment date, loans that were 30 to 60 days
delinquent and 60 to 90 days delinquent represented 0.3% and 0.1%
of the portfolio net discounted balance, respectively. The
cumulative gross default ratio was 0.5% of the aggregate original
portfolios, with cumulative principal recoveries of 23.3% to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar received updated vintage performance data, split
according to product type. DBRS Morningstar recalibrated its base
case assumptions on gross default and recovery rate for each
product type and noted an overall improvement in the performance.
The updated base case PD and LGD assumptions, based on the
worst-case portfolio composition, are 2.9% and 85.8%,
respectively.

CREDIT ENHANCEMENT

Subordination is provided by the respective junior tranches. As of
the June 2020 payment date, credit enhancement to the Class A,
Class B, Class C, Class D, and Class E Notes remained at 10.0%,
7.0%, 5.0%, 2.4%, and 1.3%, given that the transaction is still in
its revolving period.

The transaction benefits from a non-amortizing cash reserve
currently at its target of EUR 23.1 million. The cash reserve
provides liquidity support to the notes and credit support upon the
legal final maturity date.

Elavon Financial Services DAC acts as the account bank for the
transaction. Based on the DBRS Morningstar private rating of Elavon
Financial Services DAC, the downgrade provisions outlined in the
transaction documents, and other mitigating factors inherent in the
transaction structure, DBRS Morningstar considers the risk arising
from the exposure to the account bank to be consistent with the
rating assigned to the Class A Asset-Backed Fixed Rate Notes, as
described in DBRS Morningstar's "Legal Criteria for European
Structured Finance Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus. For this
transaction DBRS Morningstar moderately increased the expected
loss-given-default rate for the receivables.

Notes: All figures are in Euros unless otherwise noted.


ALBA 11 SPV: DBRS Assigns BB(high) Rating on Class C Notes
----------------------------------------------------------
DBRS Ratings GmbH assigned the following ratings to the notes
issued by Alba 11 SPV S.r.l. (the Issuer or Alba 11 SPV):

-- EUR 498,700,000 Class A1 Asset-Backed Floating Rate Notes due
September 2040 (the Class A1 Notes) at AAA (sf)

-- EUR 300,000,000 Class A2 Asset-Backed Floating Rate Notes due
September 2040 (the Class A2 Notes) at AAA (sf)

-- EUR 143,600,000 Class B Asset-Backed Floating Rate Notes due
September 2040 (the Class B Notes) at AA (low) (sf)

-- EUR 131,100,000 Class C Asset-Backed Floating Rate Notes due
September 2040 (the Class C Notes) at BB (high) (sf)

The ratings of the Class A1 and Class A2 Notes address the timely
payment of interest and the ultimate repayment of principal by the
final legal maturity date. The ratings on the Class B and Class C
Notes address the timely payment of interest and ultimate repayment
of principal by the final legal maturity date, in accordance with
the Issuer's default definition provided in the transaction
documents (i.e., the timely payment of interest when they become
the most senior tranche). The Issuer also issued EUR 187,000,000
Class J Asset-Backed Floating Rate Notes due September 2040, which
are not rated by DBRS Morningstar.

Alba 11 SPV is a cash flow securitization collateralized by a
portfolio of performing financial lease contracts to Italian retail
and corporate customers. The loans were granted by Alba Leasing
S.p.A. (Alba Leasing or the Originator). The securitized
receivables are financial claims toward the payment of regular
installments by lessees. The receivables exclude the final optional
installments that include residual value.

The initial valuation date when the economic effect of the
portfolio transfer started was 10 May 2020. As of the initial
valuation date, the portfolio consisted of 14,680 lease contracts
extended to 9,380 borrowers, with an aggregate par balance of EUR
1,247.83 million, of which EUR 11.38 million were in arrears for
less than 30 days. The initial portfolio consisted of 20.0% vehicle
leases; 56.6% equipment leases; 22.3% real estate leases; and 1.0%
air, naval, and train leases.

The transaction includes a cash reserve, which will be available to
cover expenses, senior fees, and interest on the Class A1 and Class
A2 Notes, and interest on the Class B and Class C Notes if the
relevant interest subordination event has not occurred. The target
cash reserve is equal to 1.16% of the principal outstanding of the
rated notes, subject to a floor of 0.5% of the original balance of
the rated notes.

The Class A1, Class A2, Class B, and Class C Notes benefit from a
total credit enhancement of 60.0%, 36.0%, 24.5%, and 14.0%,
respectively, which is provided by the overcollateralization of the
portfolio. The Class A1 and Class A2 Notes rank pro rata and pari
passu for interest payments, but before enforcement the Class A2
Notes are time-subordinated to the Class A1 Notes in terms
principal payments. Post enforcement, the Class A1 and Class A2
Notes rank pro rata and pari passu also in terms of principal.

The initial portfolio exhibits a higher geographic concentration in
the Italian northern regions of Lombardy, Emilia-Romagna, and
Veneto, accounting for 30.6%, 13.5%, and 11.5%, respectively. The
initial portfolio exhibits a low sector concentration as the top
three sector exposures, according to DBRS Morningstar's industry
classifications, are Building & Development, Surface Transport, and
Nonferrous Metals/Minerals, which represent 15.6%, 12.7%, and 10.0%
of the outstanding portfolio balance, respectively. The portfolio
has a low borrower group concentration, as the largest and top five
and top 10 largest borrower groups account for 0.6%, 2.6%, and 4.6%
of the outstanding portfolio balance, respectively.

Alba Leasing acts as the servicer and Securitization Services
S.p.A. acts as the backup servicer for this transaction. Agenzia
Italia S.p.A. and Trebi Generalconsult S.r.l. have also been
appointed sub-backup servicers. In the event the Servicer's
appointment is terminated, the Issuer revokes the appointment to
the Servicer and appoints the backup servicer as substitute of the
servicer.

DBRS Morningstar determined its ratings based on the principal
methodology and the following considerations:

-- The transaction's capital structure and the form and
sufficiency of available credit enhancement in the form of
subordination, reserve funds, and excess spread.

-- The ability of the transaction's structure and triggers to
withstand stressed cash flow assumptions in order to timely or
ultimately pay interest, as the case may be, and ultimately repay
the principal under the notes before the final legal maturity date
according to the terms of the transaction documents.

-- Alba Leasing's capabilities with respect to originations and
underwriting.

-- Alba Leasing's financial situation and its capabilities with
respect to servicing.

-- DBRS Morningstar conducted an updated operational risk review
of Alba Leasing in March 2020, and deems it an acceptable
originator and servicer.

-- The credit quality of the collateral and ability of the
servicer to perform collection activities on the collateral.

-- The sovereign rating of the Republic of Italy, currently rated
BBB (high) with a Negative trend by DBRS Morningstar.

-- The consistency of the legal structure with DBRS Morningstar's
"Legal Criteria for European Structured Finance Transactions"
methodology and the presence of legal opinions addressing the
assignment of the assets to the Issuer.

The ratings are also based on the following analytical
considerations:

-- The probability of default (PD) for the portfolio was
determined using the historical performance information supplied.
DBRS Morningstar assumed an annualized PD of 2.4% for vehicles
leases; 2.7% for equipment leases; 1.7% for real estate leases; and
4.9% for air, naval, and train leases. Additional adjustment was
applied in the context of the current Coronavirus Disease
(COVID-19) pandemic.

--The assumed weighted-average life (WAL) of the portfolio was 3.1
years.

-- The PDs and WAL were used in the DBRS Morningstar Diversity
Model to generate the hurdle rate for the assigned ratings.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker, considering the default rates at which the rated notes
did not return all specified cash flows.

INFORMATION ON COVID-19

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus. For this
transaction, DBRS Morningstar increased the expected default rate
for obligors in certain industries based on their perceived
exposure to the adverse disruptions of the coronavirus.

Notes: All figures are in Euros unless otherwise noted.


ATLANTIA SPA: Fitch Keeps 'BB' Rating on EUR10BB Note on Watch Neg.
-------------------------------------------------------------------
Fitch Ratings is maintaining Atlantia SpA's EUR10 billion
medium-term note programme - which is rated 'BB' on Rating Watch
Negative. Fitch is also maintaining Autostrade per l'Italia Spa's
and Aeroporti di Roma's Long-Term Issuer Default Ratings of 'BB+'
and 'BBB-', respectively, on RWN.

Both ASPI and AdR are infrastructure assets managed and owned by
Atlantia.

RATING RATIONALE

The rating actions reflect persistent uncertainties over the future
of the sizeable and cash-generative toll road business of the ASPI
concession in Italy. Fitch views the probability of a significantly
negative termination as broadly unchanged from January 2020 when
the Italian government decided to unilaterally change the existing
toll-road concession rules by law. Future developments are
unpredictable with scenarios ranging from a renegotiation to early
termination of the ASPI concession.

Discussions are ongoing between Atlantia/ASPI and the Italian
authorities to potentially settle the dispute that followed the
Morandi Bridge collapse in August 2018 although Fitch sees no
visibility on the timing and outcome of such discussions.

The largest party in the coalition government has reiterated its
intention to revoke the concession from ASPI and some MPs are also
recently publicly opposing ASPI's request to access a state-backed
loan needed to support the business amid COVID-19. Should the
government ultimately decide to revoke the concession, this would
be done according to the provisions set out in the highly
controversial Milleproroghe decree, which have been challenged by
Atlantia/ASPI both domestically (Regional Administrative Court) and
at the European Commission level.

A government decision to terminate the ASPI concession early would
likely expose the group to a liquidity event as the Milleproroghe
decree, as converted into law, has not only changed the calculation
method of the indemnity but also cancelled the contract provision
that subordinates the validity of the concession termination to the
payment of the indemnity. Such a rule (compensation not paid at the
same time of concession termination) could be disruptive in an
early termination scenario as the indemnity is the primary source
for repaying bondholders and creditors who may decide to accelerate
their debt repayment.

The RWN will be solved when the regulatory uncertainties around the
future of the ASPI concession become clearer. This could take place
even beyond the next six months.

KEY RATING DRIVERS

The Milleproroghe and Legal Challenges

In December 2019, the Italian government approved a law-decree
(Milleproroghe) that unilaterally changed some key provisions of
the existing Italian toll-road concessions, chiefly the (i)
applicable tariff system (article 13) and (ii) concession
revocation (article 35).

Following enactment of the law converting the Milleproroghe
(February 2020), ASPI filed legal challenges with Lazio Regional
Administrative Court against article 13 as well as the
constitutional legitimacy of article 35 of the Milleproroghe. The
case may escalate to the Constitutional Court in relation to the
constitutional legitimacy of the Milleproroghe.

Simultaneously, Atlantia has also urged the European Commission to
take prompt and firm action with the Italian authorities as the
company claims the government's actions are in breach of the
principles of EU law, including those concerned with contracts and
the free-market economy.

On another legal front open since 2018, the Italian Constitutional
Court is expected to have its first hearing on the issues of
constitutional legitimacy raised by the Liguria Regional
Administrative Court on the Genoa Decree (law decree 109/2018)
following the challenges brought by ASPI. Should the Constitutional
Court declare illegitimate the provisions contained in the Genoa
Decree, it could represent a precedent that could also be extended
to the constitutional legitimacy of the Milleproroghe on comparable
legal grounds, i.e. unilateral amendments of the terms and
conditions in current agreements.

Early Termination of Agreement on Changes to Concession (article
9-bis)

The substantial changes to the regulatory framework enacted by the
Milleproroghe automatically imply the early termination of ASPI
concession, whose effectiveness, however, is subject to the payment
of full compensation from the government to ASPI.

According to art 9-bis of the ASPI concession, the agreement is
automatically terminated after six months from the occurrence of
the changes, unless the concessionaire informs the grantor, within
30 days from becoming aware of the changes, that it wishes to
accept the automatic insertion of new provisions. In this case, the
grantor must provide the concessionaire a full indemnification
equal to the net present value of future cash flows until the end
of the concession. The payment of the indemnification constitutes a
pre-requisite for the effectiveness of the early termination of the
agreement.

ASPI continues to manage its concession while it challenges the
legality of the Milleproroghe. Should the Milleproroghe issue
escalate to the Constitutional Court and eventually be deemed
unlawful and therefore void, then no early termination under
article 9-bis would apply. Vice versa, should the Milleproroghe
eventually be deemed lawful, then the ASPI contract would be
terminated upon payment of the indemnity due, pursuant to article
9-bis.

Discussions Aimed at Potential Agreement

Notwithstanding the ongoing legal challenges, Atlantia/ASPI and
some Italian authorities are discussing to potentially reach an
agreed resolution of the dispute initiated by the grantor in August
2018. The outcome of this discussion is unpredictable as several
issues and interests are at stake need to be reconciled.

On June 22, ASPI sent a letter to the Ministry of Infrastructure
and Transport, confirming the company's willingness to continue
with talks - even after June 30, 2020 - aimed at reaching an agreed
resolution of the dispute initiated by the grantor on August 16,
2018.

At present, discussions in place with the government are
three-fold.

Settlement after Genoa Incident. On March 5, 2020 ASPI made a
proposal to the Government assuming sole responsibility for meeting
expenditure totaling EUR2.9 billion in tariff discounts and
additional maintenance/capex across its network.

Mutually agreed application of the Transport Authority tariff
mechanism. Fitch notes that on April 8, ASPI submitted to the
grantor a new economic and financial plan, as requested by the
Milleproroghe. While the plan has been drafted on the basis of the
ART guidelines as reasonably applied in view of the best market
standards, Fitch cautions diverging interpretations as to the ART
guidelines, which are still being discussed by both parties.

Interpretation of the Milleproroghe. ASPI reportedly requested a
review of the changes introduced by the Milleproroghe with a view
to re-setting the ASPI concession provisions at international
market standards.

On top of these, press articles also report that the government may
require additional conditions to seal a final agreement, including
among others a material reduction of Atlantia's stake in ASPI as
well as a shareholder role for state lender Cassa Depositi e
Prestiti together with other Italian and International players.

ASPI Drawing on Atlantia's Available Liquidity

On May 31, 2020, Atlantia and ASPI had respectively EUR9 billion
and EUR9.1 billion of gross debt and cumulated cash of EUR4.3
billion compared with maturing debt of EUR0.1 billion in 2020 and
EUR3.2 billion in 2021. No committed bank facilities are available
as a EUR3.25 billion revolving credit facility at Atlantia was
fully drawn in January 2020. Also, a drawdown under a EUR0.6
billion RCF out of EUR1.3 billion backstop line at ASPI obtained
from the state lender CDP was recently turned down due to a reputed
non-fulfillment of all conditions precedent to drawdown, including
those related to absence of material events triggered, among other
things, by the Milleproroghe.

As a result, Atlantia provided ASPI with a letter of support worth
up to EUR0.9 billion, to cover the subsidiary's financial needs for
2020-2021. More recently, Atlantia also instructed ASPI to use an
intercompany loan to guarantee maintenance of the network in
accordance with all existing obligations. Atlantia's resolution
followed material delays in the approval process for loans from a
number of banks that would benefit from government-backed
guarantees introduced to support companies in financial
difficulties due to the COVID-19 emergency.

Fitch sees strong linkages between Atlantia and ASPI as the parent
guarantees around 50% of ASPI's debt. While Fitch will continue to
closely monitor available liquidity, Fitch sees balance-sheet
flexibility mainly stemming from a potential disposal of Atlantia's
financial stakes in non-core assets such as Getlink (BB+/Stable),
Hochtief, Bologna airport and/or minority stakes in its portfolio
of assets.

Coronavirus Adds to Regulatory Pressures

The rapid spread of coronavirus across large EU and Latam economies
is taking a toll on the group's revenues and cash flow generation.
Atlantia has some flexibility to partially offset the impact of the
expected significant revenue shortfall of around EUR3 billion this
year. Atlantia expects cuts to operating spending, capex deferral,
mechanical reduction of its tax burden and no dividend distribution
in 2020 to broadly halve the impact on free cash flow to around
EUR1.4 billion.

The outbreak of coronavirus and related government containment
measures worldwide create an uncertain global environment for the
toll road and airport sectors. While Atlantia's most recently
available performance data may not have indicated impairment,
material changes in revenue and cost profile are occurring across
the toll road and airport sectors and will continue to evolve as
economic activity and government restrictions respond to ongoing
developments. Fitch's ratings are forward-looking in nature, and
Fitch will monitor the virus outbreak for its severity and
duration, and incorporate revised base- and rating-case qualitative
and quantitative inputs based on expectations for future
performance and assessment of key risks.

Scenario Analysis

In Fitch's view, the outcome of events is highly uncertain and open
to a variety of scenarios. Fitch outlines few non-exhaustive
possible scenarios ranging from the renegotiation to the early
termination of the ASPI concession. Fitch cautions that the
renegotiation scenario contains a series of preliminary assumptions
on, mainly, the settlement agreement, the evolution of the
regulatory framework on Italian toll roads, the valuation of the
ASPI equity stake and related use of proceeds. These assumptions
will be checked and amended if and when the scenario develops.

Under Fitch renegotiation scenario, parties will renegotiate the
ASPI concession that in its view might include a EUR2.9 billion
settlement, RAB-based tariff increase linked to a fraction of CPI
and reduced control of Atlantia on ASPI. Under this scenario, which
would see leverage remaining marginally above the forecast 6x net
debt/EBITDA in 2022-2024, Atlantia's consolidated rating would also
be driven by Fitch's qualitative assessment of the new concession
agreement.

A variation of this scenario could be an agreement where Atlantia
loses control of ASPI but retains a sizeable minority interest on
the Italian toll road concession. Under this scenario, which would
see leverage remaining marginally below 6x net debt/EBITDA in
2022-2024, Fitch will reassess the rating of the debt left at
Atlantia group level. The new Atlantia group would be a smaller
infrastructure player with materially lower cash flow generation, a
smaller and less diversified portfolio of assets with a shorter
average concession life. In this scenario, Fitch would expect the
cross-guarantee mechanism currently in place between Atlantia and a
portion of ASPI debt to be removed.

Under the renegotiation scenarios, Fitch assumes that the proceeds
from the sale of the ASPI stake would be applied to Atlantia
Holding debt reduction. It also believes that Atlantia could tap
its balance-sheet flexibility to efficiently manage its target
capital structure.

In case of ASPI concession revocation, according to the rules set
out in the Milleproroghe, ASPI's network operations would be
transferred to a new operator and the indemnity calculated as the
sum of investments realised by the concessionaire net of
depreciation. According to the new rules, the validity of the
revocation is no longer subject to the payment of the indemnity and
this would likely result in a liquidity event for Atlantia.

In such case, Fitch understands ASPI intends to immediately
challenge the legality of the revocation in court requesting an
injunction, i.e. a suspension of the validity of the decree until
the court case is concluded. If the court accepts ASPI's request
for an injunction, ASPI would continue to operate the concession
until the court finally decides on the dispute. Conversely, if the
court rejects ASPI's request, the operations would be transferred
to a new operator and, if a timely payment of an adequate indemnity
is not forthcoming, the Atlantia group would be exposed to a
liquidity event.

Impact on AdR

The rating action on AdR follows its action on Atlantia, which
almost fully owns AdR and governs its financial and dividend
policy. Nonetheless, the 'BBB-' rating on AdR considers the limited
insulation of the Rome-based airport operator from Atlantia at the
current rating, i.e. one notch above the 'BB+' consolidated
rating.

AdR's debt does not benefit from material ring-fencing although
Fitch notes that the entity's concession agreement provides some
moderate protection against material re-leveraging of the asset.
Furthermore, in its view, in case of significant liquidity needs,
Atlantia would prefer disposing of non-core assets or, in an
extreme scenario, selling a minority stake in AdR rather than
materially re-leveraging the asset and risking additional
confrontation with the Italian regulator at a time when
relationships are already strained.

Impact on Abertis

Fitch is maintaining Abertis' rating and Outlook unchanged at
'BBB'/Negative as Fitch believes the governance structure of the
Spanish-based toll road operator adequately insulates Abertis from
Atlantia at the current rating, i.e. two notches above the 'BB+'
consolidated rating.

Fitch has evaluated the legal and operational linkages between
Atlantia's consolidated profile and Abertis as "Weak" under its
Parent and Subsidiary Linkage Criteria where Atlantia's
consolidated 'BB+' rating is weaker than the subsidiary's 'BBB'.

In particular, Fitch believes the ability for Atlantia to extract
cash from its stronger subsidiary is impaired by the presence of a
large minority shareholder whose consent is required for M&A
activities and any change in the dividend policy, which also has to
remain compliant with a minimum investment-grade rating of Abertis.
Fitch also notes that the 50% ownership in Abertis materially
reduces the amount of cash Atlantia may upstream from the asset
since the remaining half would be distributed to minority
shareholders. Fitch mayreassess its approach should Atlantia opt
and manage sto re-leverage Abertis and extract higher-than-
expected cash in the future.

ESG - Governance

Atlantia has an ESG relevance score of '4' for Management Strategy,
as the collapse of the Morandi bridge in August 2018 has heightened
financial and regulatory risks, and are relevant to Atlantia's
rating in conjunction with other factors.

RATING SENSITIVITIES

Atlantia/ASPI

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  - A full restoration of existing ASPI concession rules

  - In case of concession renegotiation, Atlantia's consolidated
    rating will be driven by the expected new group's leverage
    profile and credit quality in the context of the new
    concession rules.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  - Early termination of the ASPI concession could lead to
    a multiple-notch downgrade, especially if there are doubts
    on the size and timely payment of compensation.

AdR

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  - A positive rating action on Atlantia

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  - A negative rating action on Atlantia

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Sovereigns, Public Finance
and Infrastructure issuers have a best-case rating upgrade scenario
(defined as the 99th percentile of rating transitions, measured in
a positive direction) of three notches over a three-year rating
horizon; and a worst-case rating downgrade scenario (defined as the
99th percentile of rating transitions, measured in a negative
direction) of three notches over three years. The complete span of
best- and worst-case scenario credit ratings for all rating
categories ranges from 'AAA' to 'D'. Best- and worst-case scenario
credit ratings are based on historical performance.

TRANSACTION SUMMARY

Atlantia is the world's largest toll road operator with
approximately 14,000 km of network under management predominantly
located in Spain, Italy France, Chile and Brazil. The group has
also exposure to airports in Rome and Nice.

Key Rating Drivers - Risk Assessments

Atlantia

Revenue Risk (Volume): 'Stronger'

Revenue Risk (Price): 'Midrange'

Infrastructure Development & Renewal: 'Stronger'

Debt Structure: 'Midrange'

AdR

Revenue Risk (Volume): 'Midrange'

Revenue Risk (Price): 'Midrange'

Infrastructure Development & Renewal: 'Midrange'

Debt Structure: 'Midrange'

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
Environmental, Social and Governance credit relevance is a score of
'3'. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entities, either due to their nature
or to the way in which they are being managed by the entities.

Atlantia has an ESG relevance score of '4' for Management Strategy,
as the collapse of the Morandi bridge in August 2018 has heightened
financial and regulatory risks, and are relevant to Atlantia's
rating in conjunction with other factors.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

Autostrade per l'Italia SpA

  - LT IDR BB+; Rating Watch Maintained

  - ST IDR B; Rating Watch Maintained

Autostrade per l'Italia SpA/Debt/1 LT

  - LT BB+; Rating Watch Maintained

Atlantia S.p.A.  

  - Atlantia S.p.A./Debt/1 LT; LT BB+; Rating Watch Maintained

  - Atlantia S.p.A./Debt/2 LT; LT BB; Rating Watch Maintained

Aeroporti di Roma S.p.A

  - LT IDR BBB-; Rating Watch Maintained

  - ST IDR F3; Rating Watch Maintained

  - /Debt/1 LT; LT BBB-; Rating Watch Maintained


GOLDEN BAR 2016-1: DBRS Confirms BB Rating on Class D Notes
-----------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the bonds issued by
Golden Bar (Securitization) S.r.l. - Series 2016-1 (the Issuer) as
follows:

-- Class A Notes at A (low) (sf)
-- Class B Notes at BBB (high) (sf)
-- Class C Notes at BBB (sf)
-- Class D Notes at BB (sf)

The rating on the Class A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the legal
final maturity date in July 2040. The ratings on the Class B Notes,
Class C Notes, and Class D Notes address the ultimate payment of
interest and principal on or before the legal final maturity date.

The confirmations follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses as of the April 2020 payment date.

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

-- No revolving termination events have occurred.

The Issuer is a securitization of salary assignment, pension
assignment, and delegation of payment receivables originated in
Italy by Santander Consumer Bank S.p.A. The transaction is
currently in its four-year ramp-up period, scheduled to terminate
in July 2020 (inclusive). During the ramp-up period, the Seller may
assign subsequent portfolios to the Issuer, subject to certain
conditions. The additional portfolios are funded through principal
collections on the receivables or additional subscription of the
notes up to the programme limit of EUR 1.3 billion.

PORTFOLIO PERFORMANCE

As of the April 2020 payment date, loans that were 30 to 60 days,
and 60 to 90 days delinquent represented 0.2%, and 0.1% of the
outstanding portfolio balance, respectively, while loans more than
90 days delinquent represented 0.1%. Gross cumulative defaults
represented 7.1% of the aggregate original portfolio balance.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and has maintained its base case PD at 15.2%
and updated its base case LGD to 39.6%, based on a worst-case
portfolio composition as permitted by the concentration limits
applicable during the revolving period.

CREDIT ENHANCEMENT

The subordination of the junior notes and the cash reserve provides
credit enhancement to the rated notes. As of the April 2020 payment
date, credit enhancement to the Class A, Class B, Class C, and
Class D Notes was 20.5%, 18.0%, 14.5%, and 9.5%, respectively,
stable since the DBRS Morningstar initial rating due to the
transaction ramp-up period.

The transaction benefits from a cash reserve which covers senior
fees, interest shortfall, and principal losses on the Class A to D
Notes. The cash reserve is currently at its target level of EUR
27.5 million. Following additional subscriptions of the notes, the
cash reserve can reach a level of EUR 32.5 million. The cash
reserve is permitted to amortize providing certain conditions have
been met.

The transaction also benefits from a non-amortizing liquidity
reserve funded to its target level of EUR 22.0 million, which
covers senior fees and any interest shortfall on the Class A Notes.
The target balance of the liquidity reserve is 2.0% of the total
subscription amount, and can therefore reach EUR 26.0 million
following additional subscriptions.

Banco Santander SA acts as the account bank for the transaction.
Based on the account bank reference rating of Banco Santander SA at
A (high), which is one notch below the DBRS Morningstar public
Long-Term Critical Obligations Rating of AA (low), the downgrade
provisions outlined in the transaction documents, and other
mitigating factors inherent in the transaction structure, DBRS
Morningstar considers the risk arising from the exposure to the
account bank to be consistent with the rating assigned to the Class
A Notes, as described in DBRS Morningstar's "Legal Criteria for
European Structured Finance Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus.

Notes: All figures are in Euros unless otherwise noted.


SIENA PMI 2016: DBRS Confirms CC Rating on Class D Notes
--------------------------------------------------------
DBRS Ratings GmbH upgraded and confirmed the following rating
actions on the bonds issued by Siena PMI 2016 S.r.l. – Series
2-2019 (the Issuer):

-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (sf) from AA (low) (sf)
-- Class C Notes upgraded to BBB (low) (sf) from BB (high) (sf)
-- Class D Notes confirmed at CC (sf)

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of the May 2020 payment date.

-- Base case probability of default (PD) and updated recovery
rates on the remaining pool of receivables.

-- Current available credit enhancement to the rated notes to
cover the expected losses at the respective rating levels.

-- Current economic environment and sustainable performance
assessment, as a result of the Coronavirus Disease (COVID-19)
outbreak.

The rating on the Class A2 Notes addresses the timely payment of
interest and ultimate repayment of principal on or before the final
legal maturity date in February 2060. The rating on the Class B
Notes addresses the timely payment of interest and ultimate payment
of principal on or before the final legal maturity date, in
accordance with the transaction documentation. The ratings on the
Class C and Class D Notes address the ultimate payment of interest
and ultimate repayment of principal on or before the final legal
maturity date. The Issuer also issued Class J Notes, which were not
rated by DBRS Morningstar.

The Issuer is a cashflow securitization collateralized by a
portfolio of secured and unsecured loans to small and medium-size
enterprises (SME), entrepreneurs, artisans, and producer families
based in Italy. The loans were granted by Banca Monte dei Paschi di
Siena S.p.A. (BMPS), also the servicer. A small percentage of the
portfolio (totalling approximately 2.5% of outstanding notional)
was originated by Banca Antonveneta S.p.A., Banca Agricola
Mantovana S.p.A., and Banca Toscana S.p.A. before they merged into
BMPS.

PORTFOLIO PERFORMANCE

As of the May 2020 payment date, loans two- to three-months in
arrears represented 0.3% of the outstanding portfolio balance, up
from 0.0% at closing. The 90+ delinquency ratio was 0.5% of the
outstanding portfolio balance and the cumulative default ratio
stood at 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis on the remaining
pool of receivables and updated its default rate and recovery rate
assumption on the outstanding portfolio to 21.1% and 35.9%,
respectively, at the B (sf) rating level. The base case PD has been
updated to 5.4%, following COVID-19 adjustments.

CREDIT ENHANCEMENT

As of the May 2020 payment date, the credit enhancements to the
Class A2, Class B, and Class C Notes stood at 57.1%, 43.2%, and
26.5%, respectively, up from 42.6%, 32.6%, and 20.6%, respectively
at closing. The credit enhancements to the notes are provided by
the subordination of the junior class of notes. The increase in the
credit enhancement prompted the confirmation and upgrade of the
ratings.

The transaction includes a cash reserve, which is available to
cover senior fees and interest on the Class A2, Class B, and Class
C Notes. The cash reserve amortizes subject to the target level
being equal to 2% of the outstanding balance of the Class A2, Class
B, and Class C Notes. As of the May 2020 payment date, the cash
reserve was at its target level of EUR 25,8 million.

BNP Paribas Securities Services SCA, Milan branch acts as the
account bank for the transaction. Based on DBRS Morningstar's
private rating of BNP Paribas Securities Services SCA, Milan
branch, the downgrade provisions outlined in the transaction
documents, and other mitigating factors inherent in the transaction
structure, DBRS Morningstar considers the risk arising from the
exposure to the account bank to be consistent with the rating
assigned to the Class A2 Notes, as described in DBRS Morningstar's
"Legal Criteria for European Structured Finance Transactions"
methodology.

DBRS Morningstar analyzed the transaction structure in its
proprietary Excel-based cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that payment holidays and
delinquencies may arise in the coming months for many SME
transactions, some meaningfully. The ratings are based on
additional analysis and adjustments to expected performance as a
result of the global efforts to contain the spread of the
coronavirus.

Notes: All figures are in Euros unless otherwise noted.




===================
L U X E M B O U R G
===================

4FINANCE HOLDING: Moody's Places B2 CFR on Review for Downgrade
---------------------------------------------------------------
Moody's Investors Service has placed 4Finance Holding S.A.'s
long-term corporate family and long-term issuer ratings of B2 on
review for downgrade, together with the B2 long-term backed senior
unsecured debt ratings of 4Finance, S.A., the group's
Luxemburg-based debt issuing company.

The rating action follows 4Finance's notice of invitation, launched
on 29 June 2020, to vote on a nine-month extension to the May 2021
maturity of its EUR150 million senior unsecured bond (ISIN
XS1417876163). The announcement of the proposed maturity extension
is driven by disruption caused to capital markets by the
coronavirus outbreak. This precluded 4Finance from refinancing the
May 2021 bond with a new bond issue in the first half of 2020, as
originally intended. The company is therefore seeking a short
extension until their market access has improved.

RATINGS RATIONALE / FACTORS THAT COULD LEAD TO AN UPGRADE OR
DOWNGRADE OF THE RATINGS

RATIONALE FOR THE REVIEW OF THE CORPORATE FAMILY RATING

The review for downgrade of the B2 corporate family rating is
driven by the risk that the proposed amendment to the terms could
be rejected by the required quorum. Moody's considers that 4Finance
should still be able to meet its May 2021 maturity, if it fails to
issue ahead of that date, through a combination of online cash, a
reduction in new loan issuance, and liquidity held at its Bulgarian
and Romanian banking subsidiary TBI Bank EAD. Besides, the
extension would not result in an economic loss to creditors, given
the unchanged terms and conditions of the notes, and the
compensation afforded by the amendment and participation fees.
However, a rejection of the proposed maturity extension could
impede 4Finance's ability to grow its near-prime and longer-term
installment loan portfolios as planned, while materially weakening
the company's liquidity position.

While the 2016 acquisition of TBI Bank EAD, a unique affiliation
compared with peers, supports the company's strategy to diversify
its products and clients base, but also its funding profile,
Moody's cautions that 4Finance's gradual shift to higher volumes of
near-prime loans and longer-term installment loans from short-term
loans increases the need for longer term liquidity management, and
that 4Finances's ability to fund its lending through customer
deposits has been limited thus far. Additionally, Moody's considers
the nonperforming part of the loan book as illiquid, which
constrains the issuer's flexibility to repay outstanding debt by
means of reducing lending only. Despite 4Finance's current sound
liquidity position, with EUR90 million in cash as of May 2020, the
company could be faced with significant maturity hurdles in 2022 if
further impediments to its refinancing ability arise.

Besides, 4Finance's inability to refinance a bond in the current
distressed environment and the absence of back-up credit lines
relative to its financing needs signal a lack of preparedness to
stress events or unexpected circumstances, which Moody's reflects
in a one-notch negative adjustment for liquidity management to the
firm's financial profile.

The review for downgrade will focus on the result of the vote
(which is expected in mid-July, while, if the required quorum of
50% is not obtained, a second vote with a quorum of 25% could take
place in mid-August), and on its impact on the company's
creditworthiness. Moody's considers that the extension, if adopted
by the holders of the notes, would provide 4Finance temporary
relief to complete the recently implemented operational
improvements in its sub-prime and evolving near-prime segments. The
coronavirus outbreak is having a material impact on 4Finance's
profitability and asset quality, through tightened lending criteria
leading to reduced loan issuance volume, and an expected increase
in impairments given the shift in customers' repayment behavior.
Moody's will also assess during the review period whether such a
deterioration in 4Finance's fundamentals, albeit mitigated by the
company's high margins and the flexible cost structure which is
expected to yield savings through staff reduction, is still
compatible with a B2 CFR.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public
health. Its action reflects the breadth and severity of the shock,
and the impact on credit quality it has triggered for sub-prime
lenders.

RATIONALE FOR THE REVIEW ON THE ISSUER AND DEBT RATINGS

The B2 ratings of 4Finance, S.A.'s backed senior unsecured notes
(EUR150 million maturing May 2021, and $325 million maturing in May
2022) are based on the CFR and reflect the results from Moody's
Loss Given Default analysis for Speculative-Grade Companies and
their positioning within the group's funding structure and the
amount outstanding relative to total debt. The outcome of the
review on such ratings is largely dependent on any potential rating
action Moody's may decide to take on the CFR of 4Finance.

WHAT COULD CHANGE THE RATINGS UP/DOWN

An upgrade of 4Finance's CFR is unlikely in the short-term, as
evidenced by the review for downgrade. Over the longer-term, the
CFR could be upgraded if 4Finance maintains a strong recurring
profitability and high capitalization while containing asset
quality volatility and improving its funding profile towards a more
evenly distributed debt maturity profile. Upward rating pressure
could also materialize if the integration of TBI Bank EAD
translates into a successful further expansion of the group's
consumer lending business.

An upgrade in 4Finance's CFR would likely result in a corresponding
upgrade to its issuer and debt ratings.

4Finance's CFR could be downgraded if (1) the company was unable to
adequately lengthen its maturity profile; (2) asset quality were to
deteriorate substantially; (3) the company's recurring return on
assets were to fall further; or (4) the company's capitalization
would continue deteriorating or (5) the company targets a leaner
liquidity coverage, resulting in lower volumes of liquid reserves
to meet upcoming funding maturities. Unfavorable progress in the
integration of TBI Bank EAD could also translate into downward
rating pressure.

A downgrade in 4Finance's CFR would likely result in a
corresponding downgrade to its issuer and debt ratings. Further,
Moody's could downgrade 4Finance's issuer ratings and 4Finance,
S.A.'s debt ratings due to adverse changes to their debt capital
structure that would lower the recovery rate for senior unsecured
debt classes.

LIST OF AFFECTED RATINGS

Issuer: 4Finance Holding S.A.

Placed on Review for Downgrade:

Long-term Issuer Rating, currently B2

Long-term Corporate Family Rating, currently B2

Outlook Actions:

Outlook, Changed to Ratings Under Review from Stable

Issuer: 4Finance, S.A.

Placed on Review for Downgrade:

Backed Senior Unsecured Regular Bond/Debenture, currently B2

Outlook Actions:

Outlook, Changed to Ratings Under Review from Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Finance
Companies Methodology published in November 2019.




=====================
N E T H E R L A N D S
=====================

JUBILEE CLO 2014-XII: Fitch Cuts Rating on Class E-R Debt to 'BB-'
------------------------------------------------------------------
Fitch Ratings has downgraded one tranche of Jubilee CLO 2014-XII
B.V., placed another on Negative Outlook and affirmed the other
tranches. It has also maintained the Rating Watch Negative (RWN) on
two tranches of Jubilee CLO 2014-XII B.V. and on two tranches of
Jubilee CLO 2016-XVII B.V. and maintained the Negative Outlook on
one tranche of Jubilee CLO 2016-XVII B.V, for which all other
tranches were affirmed.

Jubilee CLO 2014-XII B.V.  

  - Class A-RR XS1672949523; LT AAAsf; Affirmed

  - Class B-1-RR XS1672950299; LT AAsf; Affirmed

  - Class B-2-RR XS1672950612; LT AAsf; Affirmed

  - Class C-R XS1672951180; LT Asf; Affirmed

  - Class D-R XS1672951776; LT BBBsf; Affirmed

  - Class E-R XS1672952154; LT BB-sf; Downgrade

  - Class F-R XS1672952667; LT B-sf; Rating Watch Maintained

Jubilee CLO 2016-XVII B.V.  

  - Class A-1-R XS1874092684; LT AAAsf; Affirmed

  - Class A-2-R XS1879631254; LT AAAsf; Affirmed

  - Class B-1-R XS1874092924; LT AAsf; Affirmed

  - Class B-2-R XS1874093146; LT AAsf; Affirmed

  - Class C-R XS1874093575; LT Asf; Affirmed

  - Class D-R XS1874093906; LT BBB-sf; Affirmed

  - Class E-R XS1874094201; LT BB-sf; Rating Watch Maintained

  - Class F-R XS1874094466; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

These are cash flow CLOs mostly comprising senior secured
obligations. The transactions are within their reinvestment period
and are actively managed by the collateral manager.

KEY RATING DRIVERS

Portfolio Performance Deterioration

The downgrade of one tranche, the RWN on four tranches and the
Negative Outlook on one tranche reflect the deterioration of the
portfolios as a result of the negative rating migration of the
underlying assets in light of the coronavirus pandemic.

The transactions are slightly below par, with no defaulted assets
in their portfolios and no reported collateral quality test
breaches as per June 3 trustee reports. According to Fitch's
calculation, the weighted average rating factor of the portfolio
increased to 36.9 from a reported 34.4 for Jubilee CLO 2014-XII
B.V. and to 37.1 from 35.2 for Jubilee CLO 2016-XVII B.V.

Assets with a Fitch-derived rating of 'CCC' category or below
(including unrated assets) represent more than the 7.5% limit in
both CLO, i.e. 12.1% in Jubilee CLO 2014-XII B.V. and 13.2% in
Jubilee CLO 2016-XVII B.V., while assets with a Fitch-derived
rating on Negative Outlook are at 18.4% and 18.0%, respectively.
All other tests, including the overcollateralisation and interest
coverage tests, were reported as passing in both CLOs.

The model-implied ratings would be 'B+sf' and below 'CCCsf' for
classes E-R and F-R, respectively, for either transaction. The
agency deviated from these MIRs, because in Fitch's view the credit
quality of these tranches is still more in line with 'BB-sf' and
'B-sf' as these tranches still show limited margins of safety at
'BB-sf' and 'B-sf' with a credit enhancement of 7.6% and 4.5% in
Jubilee CLO 2014-XII B.V., and 8.2% and 5.2%, in Jubilee CLO
2016-XVII B.V., respectively. These ratings are in line with the
majority of Fitch-rated EMEA CLOs.

Furthermore, the class F-R MIR of Jubilee CLO 2016-XVII B.V. was
driven by the rising interest rate scenario only, which is not its
immediate expectation. The downgrade of one tranche reflects the
shortfall observed on the current portfolio, while the Negative
Outlook on two tranches and the RWN on four tranches follow the
tight cushion or shortfalls these tranches experiences in the
coronavirus sensitivity scenario.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of classes A-RR, B-1-RR, B-2-RR
and C-R (Jubilee CLO 2014-XII B.V) and for classes A-1-R, A-2-R,
B-1-R, B-2-R and C-R (Jubilee CLO 2016-XVII B.V), respectively.
This supports the affirmation with a Stable Outlook for these
tranches.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 36.9 for Jubilee CLO
2014-XII B.V and 37.1 for Jubilee CLO 2016-XVII B.V.

Asset Security

High Recovery Expectations: Senior secured obligations comprise
99.6% of Jubilee CLO 2014-XII B.V.'s portfolio and 98.3% of Jubilee
CLO 2016-XVII B.V.'s portfolio. Fitch views the recovery prospects
for these assets as more favourable than for second-lien, unsecured
and mezzanine assets. The Fitch weighted average recovery rate of
the current portfolio is 64.6% for Jubilee CLO 2014-XII B.V. and
65.1% for Jubilee CLO 2016-XVII B.V.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor exposure is at 18.1% of the
portfolio balance for Jubilee CLO 2014-XII B.V. and 17.6% of
Jubilee CLO 2016-XVII B.V.'s portfolio balance while no obligor
represents more than 2.5% and 2.0%, respectively. The largest
industry exposure of Jubilee CLO 2014-XII B.V. is businesses and
services at 13.4% of the portfolio balance, followed by healthcare
at 11.3%, and computer and electronics at 9.5%. Jubilee CLO
2016-XVII B.V.'s largest industry is healthcare, comprising 12.2%
of the portfolio balance, while the second largest is businesses
and services at 10.8% followed by chemicals at 10.4%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest rate scenario and the
front-, mid- and back-loaded default timing scenario as outlined in
Fitch's criteria.

In addition, Fitch tests the current portfolio with a coronavirus
sensitivity analysis to estimate the resilience of the notes'
ratings. The analysis for the portfolio with a coronavirus
sensitivity analysis was only based on the stable interest rate
scenario including all default timing scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntary terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stress Portfolio) customised to the specific portfolio limits for
the transaction as specified in the transaction documents. Even if
the actual portfolio shows lower defaults and losses (at all rating
levels) than Fitch's Stress Portfolio assumed at closing, an
upgrade of the notes during the reinvestment period is unlikely.
This is because portfolio credit quality may still deteriorate, not
only by natural credit migration, but also because of reinvestment.
After the end of the reinvestment period, upgrades may occur in the
event of better-than-expected portfolio credit quality and deal
performance, leading to higher credit enhancement levels for the
notes, and excess spread being available to cover for losses on the
remaining portfolio.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Downgrades may occur if the build-up of the notes' CE following
amortisation does not compensate for a higher loss expectation than
initially assumed due to unexpected high level of default and
portfolio deterioration. As the disruptions to supply and demand
due to the coronavirus-related disruption become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the views of Fitch's Leveraged Finance team.

In addition to the base scenario, Fitch has defined a downside
scenario for the current crisis, whereby all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
lower by a haircut factor of 15%. For typical European CLOs this
scenario results in a category rating change for all ratings. For
more information on Fitch's Stress Portfolio and initial MIR
sensitivities for the transaction, see the new issue report.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

The majority of the underlying assets have ratings or credit
opinions from Fitch and/or other nationally recognised statistical
rating organisations and/or European Securities and Markets
Authority-registered rating agencies. Fitch has relied on the
practices of the relevant groups within Fitch and/or other rating
agencies to assess the asset portfolio information.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


MEDIARENA ACQUISITION: Moody's Withdraws Caa1 CFR on Repayment
--------------------------------------------------------------
Moody's Investors Service has withdrawn the Caa1 corporate family
rating and the Caa1-PD probability of default rating of MediArena
Acquisition B.V., the owner of Endemol Shine Group.

Following the repayment of the company's debt, Moody's has also
withdrawn the B3 instrument ratings on the GBP50 million, $910
million and EUR260 million first lien senior secured loans B, the
EUR125 million first lien senior secured multicurrency revolving
credit facility and the Caa3 rating on the $457 million senior
secured second lien term loan issued by MediArena.

At the time of withdrawal, the ratings were on review for upgrade
following the announcement that Banijay Group S.A.S. (Banijay, B2
Negative) had entered into a definitive agreement to acquire 100%
of ESG. The acquisition closed on July 2, 2020.

RATINGS RATIONALE

Moody's has decided to withdraw the ratings because MediArena's
debt previously rated by Moody's has been fully repaid.

COMPANY PROFILE

ESG creates, develops, produces and distributes scripted and
non-scripted content for multiple entertainment platforms. The
group operates 120 companies in 23 geographical regions and
originates more than 700 productions across more than 270 channels
in 70 different territories worldwide. In 2019, ESG reported
turnover and adjusted EBITDA of EUR1.7 billion and EUR231 million,
respectively.




===============
P O R T U G A L
===============

HIPOTOTTA PLC 5: S&P Affirms 'CCC-' Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its 'BBB (sf)' credit rating on Hipototta No. 5 PLC's class E
notes. At the same time, S&P has affirmed its ratings on all other
notes.

S&p said, "The rating actions follow our May 6, 2020, CreditWatch
negative placement of our rating on Hipototta 5's class E notes.
Our review reflects the application of our relevant criteria and
our full analysis of the most recent transaction information that
we have received, and considers the transactions' current
structural features.

"We have revised our mortgage market outlook for Portugal due to
updated macroeconomic expectations. We have therefore increased our
base foreclosure frequencies in our analysis at the 'B' to 'AA+'
ratings. The overall impact is that the weighted-average
foreclosure frequency (WAFF) modelled is now higher than in our
previous review at all but the 'AAA' rating." The weighted-average
loss severity (WALS) modelled reflects the deleveraging of the
loans, given their high seasoning.

  Table 1

  Credit Analysis Results

  Rating level    WAFF (%)    WALS (%)
  AAA             10.38       26.80
  AA              7.15        22.45
  A               5.46        13.35
  BBB             4.14         7.27
  BB              2.78         2.00
  B               1.79         2.00

WAFF--Weighted-average foreclosure frequency.
WALS--Weighted-average loss severity.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the COVID-19
outbreak. In this transaction, we understand that about 15% of the
pool is under some form of non-contractual payment holiday. In our
analysis, and taking into account that the different schemes
available remain open and this figure could increase, we modelled a
stressed scenario in which 25% of the borrowers remain in a payment
holidays for six months and unpaid instalments return to the issuer
after 48 months."

The performance of the transaction remains stable, with arrears in
the region of 1% of the current balance.

S&P said, "Following our review, we have affirmed and removed from
CreditWatch negative our 'BBB (sf)' rating on the class E notes. In
our cash flow analysis, these notes continue to pass the currently
assigned 'BBB' rating stresses. This is mainly driven by the fact
that the reserve fund available has reached its floor and supports
the build-up of credit enhancement.

"The remaining classes have, in our opinion, sufficient available
credit enhancement to withstand the stresses we apply at the
currently assigned ratings. We have therefore affirmed our ratings
on the class A2, B, C, D, and F notes.

"We continue to believe class F notes' junior position in the
waterfall and reliance upon excess reserve fund amounts to pay
principal makes these notes dependent on favorable business,
financial, and economic conditions. We have therefore affirmed our
'CCC- (sf)' rating on the class F notes, in line with our 'CCC'
criteria.

"The analytical framework in our structured finance sovereign risk
criteria assesses a security's ability to withstand a sovereign
default scenario. These criteria classify the sensitivity of this
transaction as low. Therefore, the highest rating that we could
assign to the tranches in this transaction is six notches above the
unsolicited sovereign rating on Portugal, or 'AA (sf)'. Our ratings
in this transaction are however capped under our current
counterparty criteria by the issuer's bank account provider at the
'A' rating level."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."




===========
R U S S I A
===========

DME LIMITED: Moody's Confirms 'Ba1' CFR, Outlook Negative
---------------------------------------------------------
Moody's Investors Service has confirmed DME Limited's (Moscow
Domodedovo Airport) Ba1 corporate family rating, Ba1-PD probability
of default rating and Ba1 senior unsecured rating of the USD loan
participation notes issued by DME Airport DAC. The outlook has been
changed to negative from ratings under review. This concludes the
review process initiated on April 3, 2020.

RATINGS RATIONALE

The rating confirmation recognises that under Moody's current
assumptions DME's credit metrics may recover to the levels
commensurate with the current ratings by 2022. Notwithstanding the
increasing duration and severity of the coronavirus outbreak, and
the ongoing uncertainty regarding the pace of recovery, DME is well
positioned to restore its traffic over the next two to three years
due to its strategic importance as an infrastructure provider to
the Moscow area, the wealthiest region of Russia, and the high
proportion of domestic traffic and short-haul flights. The rating
action also reflects Moody's expectation that the company will
continue to implement measures aimed at restoring its financial
profile and maintaining a good liquidity position.

The rapid spread of the coronavirus outbreak, severe global
economic shock, low oil prices, and asset price volatility are
creating a severe and extensive credit shock across many sectors,
regions and markets. The combined credit effects of these
developments are unprecedented. The airport sector has been one of
the sectors most significantly affected by the shock, given its
exposure to travel restrictions and sensitivity to consumer demand
and sentiment. Moody's regards the coronavirus outbreak as a social
risk under its ESG framework, given the substantial implications
for public health and safety. Its rating action takes account of
the impact on DME's operating and financial performance of the
breadth and severity of the shock, recognising the potential for
recovery in the company's credit quality once the coronavirus
outbreak and its effects are contained.

DME's traffic has been severely impacted since the end of March
2020, when, after a series of local restrictions, a full ban on
international flights was implemented in Russia on March 27, 2020.
Although domestic flights, which accounted for around 58% of DME's
traffic in 2019, remained effectively intact by any direct
restrictions, imposed quarantine measures across regions and weak
consumer sentiments in the face of fast virus spread depressed the
demand in the segment, particularly hitting travel in Moscow and
Moscow region, which have been the most affected by the virus. As a
result, DME experienced a substantial disruption in operations with
traffic declines of around 90% in April and May 2020, compared to
the previous year, which severely hit aeronautical and commercial
revenues.

With restrictions gradually easing and airlines planning to
commence or ramp up capacity during the summer season, Moody's
expects flight activity to gradually resume in the second half of
2020 and continue to increase in 2021. In particular, while the
timing of the international travel reopening still remains highly
uncertain, air travel within Russia has already been showing some
signs of revival since May 2020, further accelerating in June 2020
on the back of gradual softening of lockdown measures across
regions and picking-up domestic tourism. However, the scope and
pace of a traffic recovery is highly uncertain with passengers'
volumes to remain below 2019 until 2023 at the earliest.

Against this backdrop, Moody's has revised its traffic assumptions
for European airports recognizing that the impact of the reduction
in global air travel on European airports will not be even and will
vary depending on the airport location, its airline mix and type of
traffic served. Domestic flights will recover earlier, with a
slower return for international and long-haul flights. Competitive
dynamics in the Moscow Air Cluster will be a further factor, given
the intense competition in the area and the presence of the clear
market leader Sheremetyevo, a hub for the national flag carrier,
Aeroflot Group, although DME's greater share of domestic flights
helped it to somewhat outperform other MAC airports in April-May
2020. Moody's also notes the exposure to material weakening of
airlines' credit profile, which may lead to drastic capacity cuts.

Under updated traffic scenarios, Moody's assumes that the decline
in DME airport's passenger traffic will be around 55%-65% in 2020,
with gradual recovery over 2021-23. There are, however, high risks
of more challenging downside scenarios, including deeper reduction
in passenger volumes and a slower recovery.

Given traffic declines, DME's cash flows will be significantly
reduced this year. The rouble depreciation, which followed a major
drop in oil prices in March 2020, will further pressure DME's
credit metrics have given its exposure to foreign-exchange risks,
with most of its debt denominated in foreign currency. Although the
airport historically had some natural hedge coming from around 50%
of revenue and most of its cash balance being in US dollars and
euros, the full lock-down of international air travel for the
prolonged period of time will cut materially its foreign exchange
revenue in 2020.

While DME has implemented a series of cost optimisation initiatives
aimed to cut its operating and capital expenditures and reduce
dividend payout, those measures, along with the state support in
the form of direct subsidies and soft loans, will not be sufficient
to fully offset the impact of the shortfall in passenger traffic.
Moody's, however, expects the company's credit metrics to gradually
improve starting from 2021 on the back of the traffic recovery once
the coronavirus pandemic and its effects have been contained.

DME's current liquidity provides some flexibility to withstand the
current disruption to the aviation sector, underpinned by the cash
balance available as of end Q1 2020, the upcoming government
support measures, as well as the absence of any material
development projects following the completion of its major
investment cycle in 2019 and flexible dividends. In addition, the
company has also received waivers for financial maintenance
covenant breaches as of end H1 2020 and Moody's expects the
management to continue proactively take steps to avoid debt
acceleration in the following periods. Nevertheless, in case of a
more severe downside scenario, other sources of alternative
liquidity may be required. In addition, although the company
benefits from a moderate debt repayment until Q4 2021, the company
will have to address refinancing of a $350 million outstanding
eurobond due in November 2021. DME's historically prudent liquidity
management and its established access to domestic and international
debt capital markets, however, partly mitigate these risks.

More generally, DME's ratings continue to factor in the airport's
(1) position as the second-largest airport in the MAC, with a vast
service area and strong fundamentals; (2) well-developed
infrastructure, to be reinforced by the new terminal and airfield
facilities, which, once operational, will strengthen its
competitive position and service offering and provide sufficient
capacity to accommodate future growth; (3) diversified carrier
base, with a sound anchor airline and mostly origin and destination
(O&D) traffic; and (4) expected recovery in its financial ratios to
the levels commensurate with the current ratings by 2022.

At the same time, the ratings remain constrained by DME's (1)
exposure to the intense competition in the MAC and the inherent
exposure to airline failures; (2) reliance on the state to develop
airfield facilities, which has driven a delay in launching the new
terminal at full capacity; (3) exposure to the evolving regulatory
environment, particularly in view of an upcoming shift to
concession agreement and overall less-developed legal, political
and economic frameworks in Russia (Baa3 stable); and (4)
concentrated ownership structure with weak corporate governance
standards.

RATIONALE FOR THE NEGATIVE OUTLOOK

The negative outlook reflects (1) the material uncertainties
regarding the prospects of recovery in the air passenger traffic
and its ability to drive a return of DME's credit metrics to 2019
levels, (2) risks of extended disruption to travel resulting in
material deterioration in credit quality of its key carrier
operators, or intensified competition leading to the airport's
weaker performance, and (3) liquidity risks related to the upcoming
maturity of a $350 million Eurobond due in November 2021.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Given the negative outlook and the scale of the sector stress,
upward rating pressure on DME's ratings is unlikely in the next
18-24 months. The outlook could be stabilised if (1) Moody's sees a
sustainable recovery in traffic volumes, driving the correspondent
recovery in DME's credit metrics, and (2) the company continues to
maintain a comfortable liquidity during the market recovery phase,
taking steps to secure a successful refinancing of its Eurobond due
in Q4 2021.

DME's ratings could be downgraded if (1) there was a rising
pressure on DME's credit profile from more severe and extended
disruption to travel as well as from growing concerns over the
erosion of its competitive position or material weakening of the
key airlines' credit profile, (2) it appeared likely that the
company's credit metrics would not restore to the levels
commensurate with the current rating over the next two or three
years, namely funds from operations (FFO)/debt ratio restoring to
at least in the mid-teens in percentage terms; (3) there was a risk
of covenant breaches without adequate mitigating measures in place;
or (4) there were concerns about the company's liquidity including
its ability to address the Eurobond maturity in 2021.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Privately
Managed Airports and Related Issuers published in September 2017.

DME Limited is the owner and operator of Moscow Domodedovo Airport,
one of largest airports in CIS and Eastern Europe in terms of
passenger and cargo volume, with around 28.3 million passengers
handled in 2019. In 2019, DME generated around RUB37.5 billion in
revenue and RUB13.4 billion in adjusted EBITDA. DME is ultimately
controlled by Dmitry Kamenshchik.


EUROINS LTD: Fitch Assigns 'B' Insurer Financial Strength Rating
----------------------------------------------------------------
Fitch Ratings has assigned Russian Insurance Company Euroins Ltd. a
'B' Insurer Financial Strength Rating. The Outlook is Negative.

KEY RATING DRIVERS

The rating of Euroins Russia reflects its weak business profile,
volatile financial performance, moderately weak capitalisation and
the quality of its investment portfolio that is commensurate with
its rating. The Negative Outlook reflects limited buffer in the
insurer's risk-adjusted capital position, as measured by Fitch's
Prism Factor-Based Capital Model score, to withstand potential
investment and underwriting losses arising from the coronavirus
pandemic. This is based on Fitch's pro-forma modelling of the
coronavirus pandemic and its economic implications under a set of
rating assumptions.

These assumptions were used by Fitch to develop pro-forma financial
metrics for Euroins Russia that are compared with rating guidelines
defined in its criteria. Fitch's pro-forma analysis, which was
based on end-2019 figures, indicates a moderate weakening of the
pro-forma Prism FBM score from the actual end-2019 score. This
indicates Euroins Russia's limited ability to absorb potential
investment and underwriting losses.

Fitch views Euroins Russia's business profile as 'Least Favourable'
compared with rated Russian peers'. Euroins Russia is a small
Russian non-life insurer, and does not have any specific focus on
business lines or access to exclusive distribution channels. It
primarily operates in segments with fairly low barriers for entry,
namely compulsory motor third-party liability (MTPL) insurance and
commercial health insurance. These two lines of business accounted
for 51% of gross written premiums in 2019. Euroins Russia's share
in the local primary non-life insurance sector was 0.19% in 2019
with GWP of USD33 million (2018: USD30 million), according to the
average official exchange rate of the Central Bank of Russia.

Compulsory MTPL was the key line in Euroins Russia's portfolio
during 2015-2018, with an average weight of 41% in GWP. After the
insurer recorded a weak 97% loss ratio for the MTPL in 2017, it
rebalanced the portfolio to improve diversification. This target
was achieved in 2019, largely through expansion into accident and
health insurance, but also through growth in agricultural and
commercial property lines. The MTPL share decreased to 27% in 2019
and Euroins Russia achieved 14% growth in GWP in 2019.

In 2018 and 2019, Euroins Russia's underwriting profitability was
modestly positive, with a combined ratio of 98% and 99%,
respectively. This is slightly better than the company's five-year
average of 101%. As a result, Euroins Russia recorded a net income
of RUB28 million (2018: RUB19 million) in 2019. The return on
equity totaled 5.5% in 2019, up from 5.1% in 2018.

Fitch believes that Euroins Russia's financial performance in 2020
will be affected by negative underwriting results due to a
sector-wide contraction in premium volumes and reduced underwriting
profits, stemming from the coronavirus pandemic, coupled with a
reduction in economic activity.

Euroins Russia's risk-adjusted capital position, as measured by
Fitch's Prism FBM, strengthened to 'Somewhat Weak' at end-2019
after capital injections made by minority owner Insurance Company
Euroins AD during 2019, when the latter increased its stake in the
company. Euroins Russia was compliant with solvency requirements at
end-2019 with a regulatory solvency margin, calculated based on a
Solvency I-like formula, remaining strong at 176% at end-2019 and
at 186% at end-1Q20.

Fitch views the credit quality of Euroins Russia's investment
portfolio as commensurate with the rating category. Euroins
Russia's investment strategy was predominantly focused on bank
deposits, which accounted for 79% of total invested assets at
end-2019. The deposit portfolio is concentrated with a small number
of banks. Of the total deposit portfolio, 39% were placed with
credit institutions that were rated at the low end of the available
range in Russia (in the 'B' category or unrated) at end-2019.

Fitch places Euroins Russia in the 'Important' strategic category
for EIG (group Insurer Financial Strength rating BB-/Rating Watch
Negative). However, ownership remains neutral to the rating, given
the limited differential in EIG's rating with that of Euroins
Russia. Euroins Russia is 48.6%-owned by EIG, and the remaining
51.4% by Russian individuals. In February 2019, EIG increased its
ownership of Euroins Russia to 48.6% from its 32.2% stake in 2018.

Assumptions for the coronavirus impact rating case:

Fitch used the following key assumptions, which are designed to
identify areas of vulnerability, in support of the pro-forma
ratings analysis:

  -- Decline in key stock market indices by 35% relative to January
1, 2020.

  -- Increase in the two-year cumulative high-yield bond default
rate to 13%, applied to current non-investment-grade assets, as
well as 12% of 'BBB' assets.

  -- For the non-life and reinsurance sectors, a negative impact of
3.5pp on the industry-level accident year loss ratio from
pandemic-related claims is partially offset by a favourable impact
on the auto line averaging 1.5pp.

RATING SENSITIVITIES

The ratings remain sensitive to a material change in Fitch's
rating-case assumptions with respect to the coronavirus pandemic.
Periodic updates to its assumptions are possible given the rapid
pace of changes in government actions in response to the pandemic,
and the pace with which new information is made available on the
medical aspects of the outbreak.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  -- A material adverse change in Fitch's rating assumptions with
respect to the impact of the coronavirus pandemic.

  -- Capital depletion on a sustained basis or failure to mitigate
the negative economic implications of the coronavirus pandemic.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  -- A positive rating action is prefaced by Fitch's ability to
reliably forecast the impact of the coronavirus pandemic on the
financial profile of both the Russian insurance industry and
Euroins Russia.

  -- A sustained strengthening in business profile, as measured by
operating-scale metrics, provided the company adheres to sound
underwriting practices and maintains the current level of portfolio
diversification.

  -- A proven record of financial support by EIG, either reflected
in capital support or through an increase of EIG's stake to
majority ownership.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and
Covered Bond issuers have a best-case rating upgrade scenario
(defined as the 99th percentile of rating transitions, measured in
a positive direction) of three notches over a three-year rating
horizon; and a worst-case rating downgrade scenario (defined as the
99th percentile of rating transitions, measured in a negative
direction) of four notches over three years. The complete span of
best- and worst-case scenario credit ratings for all rating
categories ranges from 'AAA' to 'D'. Best- and worst-case scenario
credit ratings are based on historical performance.


LSR GROUP: Fitch Affirms B+ LongTerm IDR, Outlook Stable
--------------------------------------------------------
Fitch Ratings has affirmed the Long-Term Issuer Default Rating of
Russian homebuilder PJSC LSR Group at 'B+' with a Stable Outlook.
Fitch has also affirmed the senior unsecured rating of the
outstanding bond issues at 'B+'/RR4'/'50%'.

LSR's affirmation of the ratings reflects the company's position as
the second-largest housebuilder in Russia, geographical and
customer diversification, as well as favourable mortgage market
environment. The rating is constrained, however, by the leverage,
which is higher than that of some of its peers.

KEY RATING DRIVERS

Leading Market Position: LSR is the second-largest homebuilder in
Russia after PIK Group in a highly competitive Russian residential
market. The group's construction volume made up over 3 million
square metres as at June 1, 2020 versus more than 6 million sqm of
PIK Group. LSR is the largest developer in Saint-Petersburg. Its
strong market position, extensive development experience and
successful record in the industry create significant barriers to
entry that support its long-term operating activity.

Good Geographical Diversification: LSR has greater geographical
diversification than PIK, albeit also concentrated. About 68% of
the sellable area as at end-2019 is attributed to Saint-Petersburg
and about 21% to Moscow, while the PIK Group is primary
concentrated in the Moscow metropolitan area. Nevertheless, LSR is
exposed to the most lucrative residential markets in Russia -
Moscow and Saint-Petersburg, where household disposable income is
higher than in other regions that provide the group with more
sustainable demand.

Well-Balanced Segments Structure: LSR's projects portfolio is
characterised by a better mix of segments in comparison to PIK,
which operates primary in the mass-market customer segment. About
44% of its portfolio in value terms (market value at end-2019) was
attributed to the mass market, 35% to the business segment and
about 12% to the elite segment. In addition, LSR is involved in the
development of commercial real estate that constituted about 8% to
the total portfolio.

State Support of the Industry: To support the homebuilding industry
during the pandemic and negative economic environment, the
government has introduced several initiatives, one of which is
subsidising the mortgage interest rate, which results in lower
interest rates. Fitch assumes that the volume of mortgage loans
will continue to be a solid proportion of LSR's sales, thus the
state's support of the market should help the company's cash
generation and smooth a deterioration of sales in 2020.

The Central Bank of Russia has recently decreased the refinancing
rate even further to 4.5%, which could result in a lower mortgage
interest rate. Furthermore, it has been announced that the limit of
mortgage loan under the subsidised interest rate of 6.5% has been
increased to RUB12 million from RUB8 million.

Average Recovery of Senior Unsecured: LSR's senior unsecured bonds
do not benefit from upstream guarantees. Fitch estimates under its
bespoke recovery analysis that a liquidation approach will lead to
higher recoveries for creditors, given the market value of LSR's
portfolio.

The waterfall results in 'RR1' for the bondholders, but because the
company operates in Russia, the recovery rating is capped at
'RR4'/50%. Fitch estimates the liquidation value at RUB116 billion,
using a 50% advance rate for accounts receivables and 50% advance
rate for LSR's projects portfolio and adjusted for 10%
administrative claims.

Rating Approach to Escrow Cash: The 2019 legislation states that a
home purchaser's cash deposit, presale proceeds, is placed in
escrow account with a bank. The same bank provides a development
loan to the project's special purpose vehicle to fund up to 95% of
the project's cost. The development loan and escrowed cash is
specific to a given project. Upon completion, escrowed cash is
released to LSR for the project SPV to repay its development loan
and for LSR to realise its profit.

Development loan banks transfer the benefit of the escrowed cash in
the form of lower interest rates for the development loan according
to certain criteria but the cash is not released until project
completion. Analytically, the escrowed cash, which cannot be
withdrawn by the home purchaser, is nettable against the SPV's
development loan.

It is the development loan provider's responsibility to ensure
completion of the project (in case of problems, options include:
on-selling the project to another contractor to complete or LSR
completes it at a loss, or the purchaser gets its money back and
the development loan bank is left with the project). Fitch nets
escrowed cash with relevant project development loans drawn, given
that escrowed cash is foremost dedicated to the development loan.
Fitch will not treat net excess escrowed cash as nettable against
debt elsewhere in the group.

DERIVATION SUMMARY

LSR Group is the second-largest residential developer in Russia
after PIK. LSR is well-positioned relative to peers, including PIK,
Miller Homes Group Holdings plc (BB-/Stable), Consus Real Estate AG
(B-/Stable) and Taylor Wimpey plc. Regulation and operating
environments differ across EMEA, making a direct comparison hard,
although Fitch views the cash-flow cycle of a typical project for a
Russian housebuilder to be similar to that of the UK and weaker
than that of France and Germany.

LSR's scale and size are larger than that of Consus Real Estate and
Miller Homes, but the company is smaller than PIK and Taylor
Wimpey. LSR's financial profile is weaker in comparison with Miller
Homes, with FFO gross leverage of more than 3.0x over 2020-2021,
but stronger than Consus' high leverage of more than 6.0x. Fitch
forecasts LSR's FFO gross leverage in 2020-2021 to be about 4.5x
following the change in the legislation and growing usage of
project finance debt, although the net leverage is going to stay at
about 1.5x-2.0x. Fitch expects that LSR's net leverage to decrease
to below 1.0x during 2022-2023.

KEY ASSUMPTIONS

  - Single-digit rise of revenue over the rating horizon averaging
    at 6% during 2020-2023

  - EBITDA margin steadily growing to about 21% by FY21

  - No M&A

  - Dividends payment of RUB4 billion in 2020-2021 with steadily
   rise to RUB6 billion-7 billion in 2022-2023

Key Recovery Rating Estimate Assumptions:

  - The recovery analysis assumes that the company would be
    liquidated in bankruptcy rather than be considered a going
    concern

  - A 10% administrative claim

  - The liquidation estimate reflects Fitch's view of the
    value of inventory and other assets that can be realised
    in a reorganisation and distributed to creditors

  - Its estimated liquidation value under a distressed
    scenario for LSR is about RUB116 billion

  - Fitch estimates the total amount of debt for claims at
    RUB91.9 billion

  - The waterfall results in 'RR1' recovery for senior unsecured
    debt. However, Fitch applies a country-cap of 'RR4' as the
    company operates in Russia. As a result, the ratings of the
    senior unsecured bonds correspond to 'B+'

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

  - FFO-adjusted gross leverage below 2.0x on a sustained basis
    (netting escrow cash with relevant project development debt)

  - Significant improvement of financial metrics leading to EBIT
    margin above 20%

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  - FFO-adjusted gross leverage consistently above 3.0x (netting
    escrow cash with relevant project development debt) unless
    FFO-adjusted net leverage remains below 1.5x on a sustained
    basis

  - Market deterioration leading to EBIT margin below 10% or
    worsened liquidity

  - The senior unsecured rating on the bonds would be downgraded
    if its assessment of recoveries moves from 'Average' to
    'Below Average'

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Strong Liquidity: Fitch-defined readily available cash of RUB61
billion as at end-2019 was more than sufficient to cover an
upcoming debt repayment of about RUB10 billion within the next 12
months. The group has also satisfactory headroom to cover expected
negative FCF arising from the transition to escrow accounts. The
company is not exposed to foreign-exchange risk, as all debt is
raised in Russian roubles.

CRITERIA VARIATION

Fitch's Corporate Rating Criteria details how escrowed cash would
be treated as restricted cash but, after the recent Russian
homebuilder legislation changes, this escrowed cash is not on LSR's
balance sheet. Fitch will net off escrow cash with the relevant SPV
development loan, even though the deposited cash in escrow is not
legally owned by LSR and therefore not on its balance sheet.
However, any surplus escrowed cash is ignored because the cash,
which cannot be withdrawn by the customer, foremost repays the
development loan debt when the project is completed. Fitch assesses
the risk of non-project completion as low.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).




=========
S P A I N
=========

BANKINTER 13: S&P Lowers Rating on Class D Notes to 'BB'
--------------------------------------------------------
S&P Global Ratings lowered to 'BB (sf)' from 'BB+ (sf)' and removed
from CreditWatch negative its credit rating on Bankinter 13, Fondo
de Titulizacion de Activos' class D notes. At the same time, S&P
has affirmed its ratings on the class A2, B, C, and E notes.

S&P said, "The rating actions follow our May 6, 2020, CreditWatch
negative placement of our rating on Bankinter 13's class D notes.
Our review reflects the application of our relevant criteria and
our full analysis of the most recent transaction information that
we have received, and considers the transactions' current
structural features.

"We have revised our mortgage market outlook for Spain due to
updated macroeconomic expectations. We have therefore increased our
base foreclosure frequencies in our analysis at the 'B' to 'AA+'
ratings. The overall impact is that the weighted-average
foreclosure frequency (WAFF) modelled is now higher than in our
previous review at all but the 'AAA' rating. The weighed-average
loss severity (WALS) modelled reflects the loan deleveraging, given
their high seasoning."

  Table 1

  Credit Analysis Results

  Rating level    WAFF (%)    WALS (%)
  AAA             12.44       14.58
  AA               8.66       10.03
  A                6.67        4.56
  BBB              5.09        2.56
  BB               3.49        2.00
  B                2.33        2.00

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the COVID-19
outbreak. In this transaction, we understand a marginal portion of
the pool is under a form of non-contractual payment holiday, in
line with the wider observance in Bankinter S.A.'s mortgage book.
In our analysis, we modelled a stressed scenario in which 10% of
the borrowers remain in a payment holidays for six months and
unpaid instalments return to the issuer after 48 months. Our
ratings on the notes remained generally stable under those
conditions."

The performance of the transaction remains stable, with arrears in
the region of 1% of the current balance.

S&P said, "We have lowered to 'BB (sf)' from 'BB+ (sf)' and removed
from CreditWatch negative our rating on the class D notes. In our
cash flow analysis, these notes did not pass the previously
assigned 'BB+' rating stresses. This is mainly driven by the higher
WAFF assumption accompanied by the fact that the notes' pro-rata
amortization and the reduction in reserve fund available prevents
the build-up of credit enhancement.

"The class A2, B, and C notes have sufficient available credit
enhancement to withstand the stresses we apply at the currently
assigned ratings. We have therefore affirmed our ratings on these
classes of notes.

"As in our most recent review, we continue to believe the
likelihood of repayment of Bankinter 13's class E notes depends on
favorable business, financial, and economic conditions. If the
excess spread in the transaction were to decrease substantially it
could result in a missed interest payment for the class E notes. We
have therefore affirmed our 'CCC- (sf)' rating on this class of
notes.

"The analytical framework in our structured finance sovereign risk
criteria assesses a security's ability to withstand a sovereign
default scenario. These criteria classify the sensitivity of this
transaction as low. Therefore, the highest rating that we can
assign to the tranches in this transaction is six notches above the
unsolicited sovereign rating on Spain, or 'AAA (sf)'."

S&P's counterparty criteria do not constrain its ratings in this
transaction.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."


CAIXABANK CONSUMO 5: DBRS Finalizes B(low) Rating on B Notes
------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following series of notes issued by Caixabank Consumo 5, FT (the
Issuer):

-- Series A Notes at AA (low) (sf)
-- Series B Notes at B (low) (sf)

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the legal final
maturity date in October 2054. The rating on the Series B Notes
addresses the ultimate payment of interest and the ultimate
repayment of principal by the legal final maturity date.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement.

-- Credit enhancement levels are sufficient to support DBRS
Morningstar's projected expected net losses under various stress
scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms of the
notes.

-- The seller's, originator's, and servicer's financial strength
and their capabilities with respect to originations, underwriting,
and servicing.

-- The other parties' financial strength with regard to their
respective roles.

-- DBRS Morningstar's operational risk review of Caixabank S.A.
(Caixabank), which it deemed to be an acceptable servicer.

-- The credit quality, diversification of the collateral, and
historical and projected performance of the seller's portfolio.

-- DBRS Morningstar's current sovereign rating of the Kingdom of
Spain at "A" with a Stable trend.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology, and the presence of legal opinions that
address the true sale of the assets to the Issuer.

The transaction represents the issuance of Series A Notes and
Series B Notes backed by a portfolio of approximately EUR 3.55
billion of fixed - and floating-rate receivables related to
consumer loans granted by Caixabank (the originator) to private
individuals residing in Spain for the purchase of consumer goods or
services. The originator will also service the portfolio.

The transaction allocates payments on a combined interest and
principal priority of payments basis and benefits from an
amortizing EUR 177.5 million cash reserve funded through a
subordinated loan. The cash reserve can be used to cover senior
costs, interest, and principal on the Series A Notes. Once the
Series A Notes have fully amortized, the cash reserve will cover
interest and principal on the Series B Notes.

The repayment of the notes is sequential: Series B Notes will start
to amortize once the Series A Notes have amortized in full. Note
repayment will start on the first payment date in January 2021.

Interest and principal payments on the notes are made quarterly on
the 20th of January, April, July, and October. The Series A Notes
pay a fixed interest rate of 0.75% and the Series B Notes pay a
fixed interest rate of 1.00%. The relatively low interest rate risk
arising from the mismatch between the Issuer's liabilities and the
portfolio is not hedged.

Caixabank acts as the account bank for the transaction. Based on
the DBRS Morningstar rating of Caixabank at "A" (Critical
Obligations Rating at AA (low)), the downgrade provisions outlined
in the transaction documents, and structural mitigants inherent in
the transaction structure, DBRS Morningstar considers the risk
arising from the exposure to Caixabank to be consistent with the
rating assigned to the Series A Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker, considering the default rates at which the notes did not
return all specified cash flows.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus.

Notes: All figures are in Euros unless otherwise noted.


CAIXABANK PYMES 8: DBRS Confirms CCC(low) Rating on Series B Notes
------------------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on CaixaBank
PYMES 8, FT (the Issuer):

-- Series A Notes upgraded to A (high) (sf) from A (sf)

-- Series B Notes confirmed at CCC (low) (sf)

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal maturity of the notes in January 2054. The rating on the
Series B Notes addresses the ultimate payment of interest and the
ultimate payment of principal on or before the legal maturity.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- The portfolio performance, in terms of level of delinquencies
and defaults, as of the April 2020 payment date.

-- Base case probability of default (PD) and default and recovery
rates on the receivables.

-- The current available credit enhancement to the notes to cover
expected losses assumed in line with the current rating levels.

-- Current economic environment and sustainable performance
assessment, as a result of the Coronavirus Disease (COVID-19)
outbreak.

The Issuer is a cash flow securitization collateralized by a
portfolio of bank loans originated and serviced by CaixaBank, S.A.
(CaixaBank) to self-employed individuals and small and medium-size
enterprises (SMEs) based in Spain. The transaction closed in
November 2016.

PORTFOLIO PERFORMANCE

The portfolio is performing within DBRS Morningstar's expectations.
As of March 2020, the 90+ delinquency ratio was 1.5%, up from 1.1%
in March 2019. The cumulative default ratio was 1.1% in March 2020,
up from 0.8% one year ago.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis on the remaining
pool of receivables and updated its default rate and recovery
assumptions on the outstanding portfolio to 29.9% and 26.9%,
respectively, at the A (high) (sf) rating level, and to 8.2% and
32.7%, respectively, at the CCC (low) (sf) rating level. The base
case PD has been updated to 2.6% following COVID-19 adjustments.

CREDIT ENHANCEMENT

The credit enhancements available to the rated notes have continued
to increase as the transaction deleverages. As of the April 2020
payment date, the credit enhancements available to the Series A
Notes and Series B Notes were 44.5% and 8.7%, respectively (up from
33.6% and 8.0%, respectively, as of the April 2019 payment date).
Credit enhancement is provided by subordination of the Series B
Notes and a reserve fund. The reserve fund is available to cover
senior expenses as well as missed interest and principal payments
on the Series A Notes and also on the Series B Notes once the
Series A Notes have paid in full. The increase in the credit
enhancement prompted the confirmation and upgrade of the ratings.

CaixaBank acts as the account bank for the transaction. Based on
the account bank reference rating of CaixaBank at A (high), one
notch below its DBRS Morningstar Long-Term Critical Obligation
Rating of AA (low), the downgrade provisions outlined in the
transaction documents, and other mitigating factors inherent in the
transaction structure, DBRS Morningstar considers the risk arising
from the exposure to the account bank to be consistent with the
rating assigned to the Series A Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology. However, the downgrade provisions
outlined in the transaction documents do not fully de-link the
Series A Notes rating from the rating of the account bank. In other
words, a material downgrade of the account bank's ratings could
lead to a downgrade of the Series A Notes.

DBRS Morningstar analyzed the transaction structure in its
proprietary Excel-based cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that payment holidays and
delinquencies may arise in the coming months for many SME
transactions, some meaningfully. The ratings are based on
additional analysis and adjustments to expected performance as a
result of the global efforts to contain the spread of the
coronavirus.

Notes: All figures are in Euros unless otherwise noted.


FCC AQUALIA: Fitch Alters Outlook on BB+ LT IDR to Positive
-----------------------------------------------------------
Fitch Ratings has revised FCC Aqualia, S.A. Outlook to Positive
from Stable. The utilities company's Long-Term Issuer Default
Rating has been affirmed at 'BB+'.

The Positive Outlook reflects its expectations that Aqualia's funds
from operations net leverage will be consistent with a 'BBB-'
rating for 2021-2024 despite its higher capex assumptions for the
period. This is due to steadily growing cash-flow generation,
business resilience to the coronavirus crisis and limitations on
dividend distributions under its bond documentation. If Aqualia
performs in line with its expectations in 2020, including success
in the bidding process related to planned growth investments, an
upgrade would be likely.

The 'BB+' IDR of Aqualia reflects its low business risk as a water
and wastewater network operator with long-term municipal
concessions, largely in Spain; water-related infrastructures under
build, own and transfer concessions; and limited non-regulated
operation and maintenance contracts and water-related engineering
procurement and construction activities, which Fitch expects to
gradually decrease as a share of earnings over 2021-2024.

KEY RATING DRIVERS

Deleverage ahead Expectations: Aqualia's FFO net leverage has
rapidly declined to 5.4x in 2019 from around 7.9x in 2017, two
years earlier than Fitch had expected. This has been achieved on
the back of steady cash-flow generation and additional cash
interest stream from the novation of two subordinated loans granted
to parent FCC S.A., which is treated as operating cash-flow by us.
These two factors more than offset dividend distributed at the
maximum allowed under Aqualia's bond's documentation in 2019.

Leverage Consistent with 'BBB-': Fitch expects Aqualia to reach its
positive leverage sensitivity in 2021. From 2022, Fitch forecasts
FFO net leverage to be maintained at around 4.7x and small but
positive free cash flow. This is consistent with a 'BBB-' rating
and the company's envisioned capital structure of 3.5x net recourse
debt-to-recourse EBITDA in the long term (which mainly excludes the
Czech subsidiary SmVaK a.s., BB+/Stable).

Fitch expects Aqualia to support credit metrics that are in line
with an investment-grade rating, via flexibility in capex and
dividends, if needed.

Limited Impact from Coronavirus: Fitch expects a limited impact of
the pandemic on Aqualia's operations with around EUR30 million
lower revenues related to municipal water concessions that have
exposure to volume risk. The essential nature of water service and
the low weight of the water bill for customers compared with other
services support revenue resilience. Impact is almost nil for BOT
concessions as they are supported by take- or-pay contracts, and
for O&M contracts, which largely relate to water essential services
that cannot been postponed or cancelled. EPC has been impacted by
work stoppages and reschedules, but this is a low share of
Aqualia's revenues.

Drop in I&C Water Volumes: Sharp drops in industrial and commercial
consumption volumes have not been fully offset by increases in
household volumes, and Fitch expects this to lead to lower revenues
and EBITDA in 2020. Water consumption has declined 3%-19% yoy
during the lockdown, with the highest impact being in coastal areas
exposed to tourism activity. Overall, Fitch assumes that demand for
Aqualia's operations will fall by around 6%-7% in 2020 before fully
recovering by 2022. Fixed charges represent around 30% of total
water revenue invoiced and mitigate the downside in revenues.

Water Concessions Drive IDR: Resilient municipal water concessions,
largely in Spain, contributed 83% of total recourse EBITDA, BOT
concessions 3%, O&M 4%, and EPC 6% in 2019. Municipal concessions
have around 13 years of remaining life and renewal rates of about
90%. Fitch expects EPC activities to decrease to around 5% as
Aqualia has focused its strategy in construction, mostly
BOT-related EPC projects. Fitch expects municipal water and BOT
concessions to represent around 92% of EBITDA by 2024, supporting a
strong business risk profile.

2020-2024 Growth Plan: Capex and bolt-on acquisitions until 2024
totals EUR684 million, of which 47% is for growth. Its Fitch case
also includes EUR320 million of additional back-loaded capex and
M&A to reflect a wide array of growth opportunities available for
the company. However, Fitch believes growth capex will only
materialise if it generates the profitability targeted by Aqualia.
Fitch sees some execution risk as the capex plan depends on its
success in its various bidding processes. Growth capex and M&A
totalling EUR85 million were rolled out in 2019, largely in water
concessions in targeted countries. This includes the acquisition of
SPI Environment in France, a market in which Aqualia expects to
grow in the coming years.

Restricted Dividends and Leverage: Aqualia's EUR1.35 billion bonds
documentation and shareholder agreement set a maximum recourse net
debt/recourse EBITDA at below 5.0x, which translates into a FFO net
leverage consistent with the 'BB+' IDR. However, the Board-approved
business plan for 2020-2024 suggests a lower leverage consistent
with a higher rating and the company's target is substantially
lower at 3.5x. Documentation also includes a cap in dividends
equivalent to 45% of the cumulated net income, regardless of
leverage.

Predominantly Non-Recourse Growth: The bulk of BOT projects, which
will most likely be financed with project-funding and structured in
a special purpose vehicle with a local partner (up to 49%), would
fall outside the recourse scope of the rating and bonds. Equity
contributions by Aqualia to those non-recourse SPVs would fall
within the recourse scope, as do limited cash dividends received in
2020-2024. Fitch may re-consider the deconsolidated approach to
credit ratios should the expansion in core business that is funded
with non-recourse debt become material.

DERIVATION SUMMARY

Aqualia is a water and sewerage network operator that, unlike some
of its European peers, does not own its asset base. However, its
investments are supported by the value of its concessions. The
company is fairly well-positioned relative to peers in water-cycle
management activities, but its water infrastructure construction
activity adds some volatility to cash flow compared with pure water
asset operators such as Canal de Isabel II, S.A. (BBB/Stable).
Moreover, Aqualia operates in a decentralised and less developed
regulatory environment than other European countries, with a
slightly higher business risk than for Italian and UK players.
Aqualia's leverage is the highest in the peer group, resulting in a
lower rating.

Fitch applies a single-notch uplift to Aqualia's senior secured
bonds from the IDR, based on all the creditor-friendly provisions
included in the company's financing package (ie the security, the
debt service reserve account, and the covenanted structure). Any of
these in isolation would not be sufficient for such uplift.

By contrast, Fitch does not apply the one-notch uplift due to
above-average expected recoveries for senior unsecured creditors
that are common to regulated networks. This is due to the less
developed regulatory framework in Spain than in other
jurisdictions, the complexity of a highly granular base of
contracts and the lack of ownership of its asset base.

Finally, in accordance with Fitch's methodology, Fitch rates
Aqualia on a standalone basis as it assesses the legal and
operational ties between FCC and Aqualia as weak, based on the
contractual ring-fencing provisions in the bond documentation and
the operational and financial separation from FCC S.A., its
majority owner.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within its Rating Case for the Issuer
include:

  - Growth of existing businesses of about 1.3%, which is about
0.5% above CPI expectations, until 2024;

  - Lower volumes in around 7% in 2020 related to COVID-19 impact,
followed by full recovery to previous levels by 2022 and stable
volumes thereafter to 2024;

  - Renewal rate of water concession contracts of 90%, in line with
historical trends;

  - Recourse EBITDA margin of 21% for 2019-2024; water and BOT
concessions of 25%, O&M of 11% and EPC of 9%;

  - Capex and bolt-on acquisitions of around EUR1 billion for
2020-2024, including a EUR320 million buffer of investments with no
associated return above management's estimate. Average annual capex
of about EUR200 million per year over 2020-2024, including around
EUR70 million for O&M and EUR130 million for growth;

  - EBITDA and dividends received from new contracts awarded and
acquisitions (around EUR50 million in 2024); and

  - Annual dividend pay-out of about 45%. 2020 dividend deferred to
2021.

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action/Upgrade

  - Stronger recourse cash flow generation, leading to recourse FFO
net leverage below 5.0x and recourse FFO interest coverage above
6.5x on a sustained basis.

  - Lower business risk, such as an independent and centralised
water regulator or increased transparency in the regulatory
framework, which could be credit-positive.

Developments That May, Individually or Collectively, Lead to
Negative Rating Action /Downgrade

  - Expectation of FFO net leverage at 5.0x-5.5x, without major
changes in the business mix, which may result in the Outlook being
revised to Stable.

  - Weaker cash flow generation, leading to recourse FFO net
leverage above 5.5x and recourse FFO interest coverage below 5.0x.

  - Higher business risk, such as a lower share of regulated
activities in the business mix in favour of higher-risk ones (EPC
or O&M), a material increases in non-recourse funding or financial
stress at the parent level.

  - A significant increase of non-recourse activities, which could
lead to a review of the deconsolidated rating approach.

  - Looser ring-fencing provisions or more related-party
transactions, which could lead us to reconsider the linkage between
Aqualia and FCC S.A.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Healthy Liquidity: As of end-2019, Aqualia had readily available
cash and cash equivalents of EUR331 million, including its debt
coverage reserve account, and minor undrawn credit facilities
(EUR0.3 million). It has no material debt repayments until 2022,
when the first bond matures. Aqualia's liquidity is supported by a
stable and predictable operating environment and a highly
cash-generative business.

Aqualia's indebtedness is largely based on two bonds raised at the
parent level of a total amount of EUR1.35 billion (with bullet
repayments in 2022 and 2027), as well as other recourse funding of
around EUR13 million. In addition to the on-balance amounts shown,
Fitch's adjusted gross debt includes EUR102 million of non-recourse
factoring, which Fitch forecasts to remain stable over the next
four years.

SUMMARY OF FINANCIAL ADJUSTMENTS

Its rating scope deconsolidates and includes dividends from
Aqualia's non-recourse subsidiaries: Smvak, and Aquajerez.

Non-recourse factoring added back to debt due to its recurring
nature historically (EUR102 million as of end-2019), Fitch assumes
this to be flat in the forecast period up to 2024.

Cash is netted of pay-downs linked to EPC activity, factoring
pledge deposit and the debt service coverage reserve account (only
for liquidity purposes, not for leverage ratios calculation).

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).

FCC Aqualia, S.A.

  - LT IDR BB+; Affirmed

  - Senior secured; LT BBB-; Affirmed




===========
S W E D E N
===========

CORRAL PETROLEUM: Fitch Withdraws 'B-' LongTerm IDR
---------------------------------------------------
Fitch Ratings has maintained Corral Petroleum Holdings AB's 'B-'
Long-term Issuer Default Rating on Rating Watch Negative and
withdrawn the rating.

The RWN reflects tight but manageable liquidity and a difficult
economic backdrop for refining companies. Refining margins continue
to be weak, limiting the prospects for CPH's liquidity profile to
improve significantly. However, CPH's realised margins in May and
June 2020 were higher than benchmarks and it also expects margins
to improve slightly from the currently low levels over the coming
weeks as demand for fuels picks up during the summer driving
season.

The oil price slump and funding arrangements weigh on CPH's credit
profile. CPH's funding mix includes a USD540 million term loan and
a borrowing base facility with a maximum availability of USD1.6
billion that is revalued weekly depending on receivables and
inventory value, which in turn are driven by oil and oil product
prices. The decrease in the availability of the BBF resulted in a
liquidity squeeze in March 2020.

Fitch has withdrawn CPH's rating because the rating has been taken
private.

KEY RATING DRIVERS

Liquidity Manageable but Tight: CPH's liquidity in 2Q20 remained
fairly stable, allowing for continued operations. If oil prices
increase from the current USD40/bbl, the availability under the BBF
will correspondingly increase with higher inventory value. In case
of a large drop in oil prices, CPH's put option portfolio should
provide short- term liquidity cushion.

Margins Above Benchmarks: Benchmark margins reported by Reuters for
North West Europe were weak at around minus USD1/bbl in June 2020
compared with USD0.3/bbl in May. CPH's realised margins, which were
higher than benchmarks in both months, are positive for the rating.
Fuel demand remains subdued and inventories of fuel products are
high. Margins may improve slightly during the peak driving season
in the summer months, but a more significant rise in margins is
unlikely in the short term unless inventory levels normalise.

DERIVATION SUMMARY

CPH's closest peer is KMG International N.V. (KMGI; B+/Stable).
KMGI's 'B+' rating reflects a two-notch uplift from a Standalone
Credit Profile of 'b-' due to the presence of moderate legal,
operational and strategic ties between the company and its parent,
JSC National Company KazMunayGas (NC KMG, BBB-/Stable). Fitch
forecasts CPH to have higher leverage than KMGI over the next four
years. CPH operates two medium-sized refineries in Sweden with a
total capacity of 345 mbpd compared with KMGI, whose main assets
comprise a 100 mbpd refinery in Romania, another 10 mbpd refinery,
and a small petrochemical plant. CPH's retail network is made up of
around 600 filling stations, while KMGI runs a trading business
servicing NC KMG and a retail chain of over 1,000 gas stations.

CPH lags behind PKN ORLEN S.A. (BBB-/Stable), MOL Hungarian Oil and
Gas Company Plc (BBB-/Stable) and Turkiye Petrol Rafinerileri A.S.
(BB-/Negative) in refining capacity and lacks integration with
petrochemical and upstream assets.

KEY ASSUMPTIONS

  - Brent price of USD35/bbl in 2020, USD45/bbl in 2021, USD53/bbl
    in 2022 and USD55/bbl until 2024.

  - Lower capex in 2020 and around 2% of revenue until 2024.

  - Significant working capital inflow in 2020 due to low oil
    prices.

  - Shareholder debt included in total debt from 2020.

  - Depressed refining margins in 2H20 due to high fuel
    product inventories.

RATING SENSITIVITIES

Rating sensitivities are no longer relevant given rating
withdrawal.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Liquidity remains tight but manageable with fairly stable cash
balance and headroom under the BBF throughout 2Q20.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).




===========================
U N I T E D   K I N G D O M
===========================

EUNETWORKS HOLDINGS 2: Moody's Alters Outlook on B2 CFR to Stable
-----------------------------------------------------------------
Moody's Investors Service changed the outlook on euNetworks
Holdings 2 Limited ratings to stable from negative. At the same
time, the agency has affirmed the company's B2 corporate family
rating (CFR), B2-PD probability of default rating (PDR), and the B2
ratings of the group's senior secured Term Loan B (due 2025) and
for its EUR75 million revolving credit facility (due 2024) issued
by euNetworks Holdings Limited (UK).

On June 3, 2020, euNetworks secured additional growth capital of
EUR250 million Investment Management Corporation of Ontario
("IMCO") an investor since 2018 and Stonepeak Infrastructure
Partners ('Stonepeak'), the infrastructure fund that owns the
majority of euNetworks, and other existing investors. This growth
capital will be in the form of common equity and will be allocated
in future to fund further organic growth, M&A and other general
corporate purposes.

"The stable rating outlook reflects the fact that the company will
not be relying on additional debt to fund its growth investments
over the next few years as it now has access to the recently
secured equity capital" Gunjan Dixit, a Moody's Vice President -
Senior Credit Officer and lead analyst for euNetworks.

"Moody's adjusted gross leverage for euNetworks reduced to 5.3x in
2019 compared to 6.3x in 2018. This deleveraging was mainly driven
by the company's adoption of IFRS 16 which led to around 0.7x of
reduction in its adjusted leverage. Future deleveraging will mainly
rely on EBITDA growth depending on the success of the company's
growth investments", adds Ms. Dixit.

RATINGS RATIONALE

euNetworks generated EBITDA (pre IFRS) of EUR60.8 million which
grew by 9% year-on-year in 2019. Relative to its initial
expectations, EBITDA slightly under-performed due to some customer
disconnections in the second half of the year. Nevertheless,
euNetworks continued to maintain a hard churn of less than 1%
during the year. In 2019, the growing network requirement of
euNetworks' largest customers' led to the continued extension of
its routes to more European cities. In 2020 and beyond, Moody's
expects the company to continue focusing on network expansions
resulting in higher operating costs in advance of revenue growth,
and therefore the future growth expectations for reported EBITDA
(pre IFRS) are likely to carry the commensurate impact.
Nevertheless, this recently sought equity capital and its use in
funding network expansions should support the company's medium-term
revenue growth trajectory. This equity capital is however for now
only a commitment and drawings under it will largely be conditional
upon compelling future investment growth opportunities.

The coronavirus pandemic is unlikely to have a negative impact on
the demand for bandwidth and could potentially result in increased
demand with supportive trends such as working from home.
Nevertheless, the company is still exposed to some counterparty
risks which could arise from some suppliers or customers getting
affected by coronavirus related disruptions.

In recent years, euNetworks has added new metro networks in
Manchester, Milan, Madrid and Vienna, and has also extended its
long-haul network, adding unique routes, deploying new fibre on
existing routes. In late 2019, the company completed the build out
of critical Internet infrastructure linking Dublin to London and
Lowestoft. The new Super Highway which will in future be supported
by the recently allocated growth capital, includes the first new
subsea cable system in the North Irish sea for some years, and the
entire route was built with new ultra-low loss fibre to deliver the
lowest cost per bit.

Other than fixed operating costs, the company also incurs a
significant non-cash long term employee incentive plan expense
(14.8% of Company Adjusted pre IFRS 16 EBITDA in 2019). Unlike the
company, Moody's treats these expenses as recurring employee
remuneration costs and deducts them from its calculation of
adjusted EBITDA. Moody's expects these costs to remain material
over at least, the next 2-3 years.

Moody's adjusted gross leverage for euNetworks reduced to 5.3x at
the end of 2019. On a pre IFRS 16 basis, this leverage would have
been 6.0x compared to 6.3x in 2018 (proforma for debt transaction).
Moody's expects the company's leverage to reduce further in 2020
supported by organic EBITDA growth, absent any material debt funded
M&A. However, Moody's cautiously recognizes the execution risks
associated with the successful delivery of the company's revised
business plan.

euNetworks generated negative free cash flow (after capex) of EUR64
million in 2019, compared to EUR31 million in 2018 driven by
elevated capex. Moody's expects free cash flow to remain materially
negative in 2020 as the company continues to invest in larger scale
projects to support the future bandwidth demand of its customer
base in addition to its organic expansion investments.

The B2 CFR reflect euNetworks': (1) Good revenue growth and high
margins supported by structurally favorable secular trends such as
rising demand for data, bandwidth and cloud services; (2) Leading
positions in key European data center connectivity and fiber
bandwidth services markets; (3) Stable recurring revenue base, with
low churn from a diversified customer base, and long contract
terms; (4) Fixed asset and equity value in the company's network
assets; and (5) Significant equity contribution and potential for
additional growth funding from its financial sponsor.

These factors are offset by the company's: (1) Small scale (as
measured by revenues) and niche market position in a fragmented
market; (2) High leverage (3) High discretionary capex resulting in
materially negative free cash flow in 2020; and (4) Event risk, in
the form of M&A, as the company pursues its growth objectives.

Moody's expects euNetworks to maintain adequate liquidity supported
by EUR23.7 million of cash on balance sheet and EUR50 million
available under its six-year EUR75 million Revolving Credit
Facility (RCF) as of December 2019. In 2020, Moody's expects the
company to make use of its RCF to fund some of its capital
investments in conjunction with the new equity capital. euNetworks
has no material financial debt maturities prior to the end of 2024
and the covenants governing euNetworks' secured debt offer a good
cushion relative to the most recent financial results.

ESG CONSIDERATIONS

From a corporate governance perspective, Moody's factors in the
potential risk usually associated with private equity ownership,
which might lead to a more aggressive financial policy and lower
oversight compared with publicly traded companies. In case of
euNetworks, Moody's nevertheless positively recognizes the
continued support from its shareholders in the form of equity
support.

RATING OUTLOOK

The stable outlook reflects its expectation that capex investments
over the coming few years will be largely funded by the allocated
equity capital thereby reducing the company's reliance on
additional debt.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Upward pressure on the ratings could develop if: (1) euNetworks'
leverage (measured as Moody's-adjusted Gross debt/EBITDA) decreases
below 4.0x on a sustained basis; and, (2) the company's
Moody's-adjusted Free Cash Flow (FCF)/Gross debt approaches 10%.

Conversely, downward pressure on the rating could develop if: (1)
euNetworks' fails to maintain leverage (measured as
Moody's-adjusted gross debt/EBITDA) below 5.25x in the next 12-18
months; and (2) the company sustains a materially negative free
cash flow position; or (3) if liquidity were to deteriorate
materially. Downward rating pressure could also arise should the
company engage in debt-financed transformational M&A resulting in a
material dilution of its high EBITDA margin or a weaker business
profile.

LIST OF AFFECTED RATINGS

Affirmations:

Issuer: euNetworks Holdings 2 Limited

Corporate Family Rating, Affirmed B2

Probability of Default Rating, Affirmed B2-PD

Issuer: euNetworks Holdings Limited (UK)

Senior Secured Bank Credit Facility, Affirmed B2

Outlook Actions:

Issuer: euNetworks Holdings 2 Limited

Outlook, Changed to Stable from Negative

Issuer: euNetworks Holdings Limited (UK)

Outlook, Changed to Stable from Negative

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

Based in London (UK), euNetworks is a facilities-based bandwidth
infrastructure provider, delivering scalable, fiber-based network
solutions to its customers across Europe. In its fiscal year ended
December 31, 2019, euNetworks generated EUR168 million in revenues
and EUR61 million in reported EBITDA (pre IFRS 16).


FLIGHT RECLAIM: Enters Administration Due to Coronavirus Pandemic
-----------------------------------------------------------------
Business Sale reports that Didsbury-based aviation claims
specialist Flight Reclaim has entered administration, after the
coronavirus pandemic's impact on international travel caused a
decrease in new claims.

Glyn Mummery -- glyn.mummery@frpadvisory.com -- and Julie Humphrey
-- julie.humphrey@frpadvisory.com -- of advisory firm FRP have been
appointed as joint administrators, Business Sale relates.
According to Business Sale, they are in the process of taking 10
employees off furlough in order to deal with Flight Reclaim's more
than 4,500 live customer claims submitted prior to the pandemic.
Three staff members have been made redundant, Business Sale notes.

Once the remaining claims have been settled, Mr. Mummery and Ms.
Humphrey will assess options for Flight Reclaim, with the
assistance of Ben Woolrych -- ben.woolrych@frpadvisory.com -- a
restructuring advisory partner at FRP's Manchester office, Business
Sale states.

The company's creditors amounted to GBP1.8 million, Business Sale
discloses.


INTU PROPERTIES: CEO Steps Down Following Administration
--------------------------------------------------------
Yadarisa Shabong at Reuters reports that Intu Properties CEO
Matthew Roberts has stepped down a week after Britain's biggest
mall owner went into administration.

A source familiar with the matter told Reuters on July 3 Mr.
Roberts, who took the helm in 2019 after serving as Intu's finance
chief for about nine years, informed staff that he was leaving the
company.

Intu, which owns 17 major shopping centres in Britain, including
Manchester's Trafford Centre, called in KPMG as administrators
after it failed to secure a deal with its creditors, Reuters
relates.

According to Reuters, KPMG said Intu's shopping centres, home to
hundreds of well-known retailers, will remain open during Intu's
insolvency proceedings as they are individually owned by special
purpose vehicles and under the control of their directors.


ONEWEB: Britain, Bharti Global to Acquire Business
--------------------------------------------------
Kate Holton at Reuters reports that Britain has joined forces with
India's Bharti Global to buy the collapsed satellite operator
OneWeb, with the two sides pledging US$1 billion between them to
develop a constellation that could boost broadband and other
services.

Under the deal announced on July 3, Britain will invest US$500
million and hold a stake of around 45% in OneWeb while Bharti will
invest the same amount and provide commercial and operational
leadership, Reuters discloses.

"Our access to a global fleet of satellites has the potential to
connect millions of people worldwide to broadband, many for the
first time," Reuters quotes Business Secretary Alok Sharma as
saying.  "And the deal presents the opportunity to further develop
our strong advanced manufacturing base right here in the UK."

British governments have generally taken a hands-off approach to
holding equity stakes but the deal could boost the manufacturing
sector, which has endured several years of uncertainty over future
trading rules due to Brexit, and has now lost thousands of jobs due
to the COVID-19 crisis, Reuters notes.

OneWeb filed for Chapter 11 bankruptcy at the end of March after
its biggest investor SoftBank Group Corp pulled funding, with an
auction held on July 2, Reuters recounts.

According to Reuters, the government said in a statement the deal
is subject to a U.S. court approval and regulatory clearances, and
is expected to close before the end of the year.

OneWeb is a global communications company founded by Greg Wyler.
The company is headquartered in London, United Kingdom and McLean,
Virginia, United States with offices in California, as well as a
satellite manufacturing facility in Florida -- OneWeb Satellites --
that is a joint venture with Airbus Defence and Space.


SAGA PLC: Moody's Cuts CFR & Senior Unsecured Rating to B1
----------------------------------------------------------
Moody's Investors Service has downgraded Saga Plc's corporate
family rating and backed senior unsecured debt ratings to B1 from
Ba2, and the probability of default rating to B1-PD from Ba2-PD.
The outlook has changed to negative from ratings under review.

This rating action concludes the review for downgrade that
commenced on March 18, 2020, and reflects the significant
deterioration expected in Saga's financial profile as a result of
the coronavirus-related suspension of the group's travel and cruise
operations along with ongoing uncertainty around time frame within
which it will resume these operations on a profitable basis.

The rapid spread of the coronavirus outbreak and deteriorating
global economic outlook are creating a severe and extensive credit
shock, with the travel and cruise sectors being significantly
affected given the exposure to increased travel restrictions.
Specifically, for Saga, the group remains vulnerable to the
continued uncertainty around the pace of recovery from the
outbreak.

The negative outlook reflects the significant uncertainty around
the timeline for resuming travel and cruise operations and
therefore the ability of the group to repay or refinance the term
loan repayable in 2022.

RATINGS RATIONALE

The ratings were downgraded to B1 from Ba2 to reflect the
significant deterioration in Saga's profitability and debt leverage
as a result of the ongoing suspension of its travel and cruise
operations, along with additional pressure on liquidity expected in
the event of a more severe stress wherein cruise operations remain
suspended into 2021. These pressures increase the risk of Saga
breaching the debt covenants on its term loan and bank facilities
during 2021 and diminish the group's ability to repay or refinance
its term loan maturing in 2022. Further, Moody's believes that debt
leverage will now remain at elevated levels for a prolonged period
after resumption of travel and cruise operations.

In addition, while the group's insurance division is performing
well and currently supports the group's compliance with debt
covenants, the significant losses being incurred in the travel and
cruise divisions leave little margin for deterioration in the
insurance result or for deviation from the level of expense
reductions that Saga plans to achieve over the next few months.
Moody's noted that the group's ability to trade through this crisis
will be significantly impacted by the actions of its customers,
bank lenders and counterparties, and the extent to which they
maintain confidence in Saga's forward-looking prospects.

Saga's ratings are supported by the group's well established and
highly trusted affinity brand, diversified business profile that
includes insurance broking and underwriting, travel and cruise
operations catering to the over 50's in the United Kingdom,
historically solid underlying EBITDA and net profit margin, which
Moody's expects to remain healthy with regards to the insurance
operations but to be significantly reduced at the group level over
the next two years due to the coronavirus-related disruption to its
travel and cruise businesses.

Saga's profitability had deteriorated prior to the effects of
coronavirus, with reported underlying profit before tax declining
to EUR109.9 million for the year ended January 31, 2020 from
EUR180.1 million in the prior year, mainly the result of diminished
earnings from its insurance division, albeit that this division
continues to generate good profitability. While travel and cruise
contributed approximately EUR19.8 million to the group's underlying
PBT (EUR58.3 million to EBITDA) for the year ended 31 January 2020,
these divisions are currently loss making, with Saga reporting a
combined cash "burn" costs for these businesses of between EUR6
million and EUR8 million per month. In addition, Saga has incurred
restructuring costs as it seeks to reduce its cost base, and
Moody's expects that these deep cost savings necessary to reduce
the cash "burn" will make it more difficult for Saga to retain the
franchise value of its tour operations once the suspension ends.

The group's debt leverage is very high with Moody's estimate of
gross debt at the end of May 2020 at approximately EUR675 million
and net debt of approximately EUR645 million at that date.
Excluding the ship debt – which is not considered in calculating
the group's covenants with its bank lenders – Moody's estimates
gross debt of approximately EUR440 million at the end of May 2020
and EUR420 million at the end of January 2021.

Moody's expects Saga's Debt-to-EBITDA leverage to remain within the
revised covenants on its bank term loan and revolving credit
facility (4.75x) should the group be able to significantly reduce
the cash "burn" rate and resume cruise operations during 2020.
However, the rating agency believes that Saga's ability to maintain
covenant compliance will be challenged if the suspension extends
into 2021. In addition Moody's believes that the group's ability to
repay or refinance upcoming debt maturities will become
increasingly stretched the longer the suspension continues,
although Moody's continues to believe that bank lenders are
incentivized to exercise continued forbearance in the event of Saga
breaching the revised covenants given the strength of the
underlying franchise.

Moody's expects Saga to be able to maintain sufficient liquidity in
the event of cruise operations resuming operations in 2020,
assuming it continues to benefit from a high retention of advance
customer receipts (EUR43 million at end of May 2020) on canceled
cruise departures. However, in the event of more cruise customers
requesting refunds or the group's inability to resume tour and
cruise operations, Moody's expects the group's liquidity to come
under increasing pressure and for it to draw down, at least
partially, on the remaining capacity within its RCF.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety and therefore this action reflects a crystalisation of
the societal risks that Saga are exposed to.

OUTLOOK

The negative outlook reflects the significant uncertainty around
the timeline for resuming travel and cruise operations, which is
largely dependent on the evolution of the virus and the UK
Government's ongoing response thereto. Most immediately, the
negative outlook also reflects the risk of Saga's lenders
exhibiting less flexibility in the event of the group breaching its
debt covenants in 2021, along with the rising risk to its ability
to repay or refinance the term loan when it matures in May 2022.
These concerns are somewhat alleviated by Saga's strong franchise,
as demonstrated by ongoing customer demand for its products and
services, and good underlying profitability of its insurance
division, which should incentivise lenders' and investors' ongoing
support for the group.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Moody's says the rating the following factors would likely lead to
a further downgrade of Saga's ratings: (i) indications that
suspension of the group's cruise and tour operations will extend
into 2021 or of the group being likely to breach its debt
covenants, (ii) deterioration in the group's retention of advance
customer receipts and increasing strain on liquidity as a result of
elevated refunds to customers, (iii) indications that
Debt-to-EBITDA leverage (Moody's calculation, including ship debt)
will remain above 6x beyond fiscal year-end 2022, (iv)
deterioration in profitability of Saga's insurance operations.

Given the negative outlook, there is limited likelihood of an
upgrade to Sagas' ratings at this stage, however the rating could
be stabilized in the event of Saga being able to resume tour and
cruise operations during 2020, or the group taking steps to reduce
its leverage. Moody's added that a faster than expected return to
profitability of its travel and cruise operations would result in
upward pressure on the rating.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Insurance
Brokers and Service Companies published in June 2018.


[*] DBRS Puts 56 Ratings of 17 European RMBS Trans on Review Neg.
-----------------------------------------------------------------
DBRS Ratings Limited and DBRS Ratings GmbH (together, DBRS
Morningstar) placed its ratings of the following notes issued in
the context of 17 European RMBS transactions Under Review with
Negative Implications:

Charles Street Conduit Asset Backed Securitization 1 Limited:
-- Class B Notes rated BBB (high) (sf)
-- Class C Notes rated BB (high) (sf)

Dilosk RMBS No. 2 DAC:
-- Class D Notes rated BBB (sf)
-- Class E Notes rated B (high) (sf)
-- Class F Notes rated CCC (sf)

Dublin Bay Securities 2018-1 DAC:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BB (low) (sf)

Dublin Bay Securities 2018-MA1 DAC:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (sf)
-- Class F Notes rated B (high) (sf)
-- Class Z1 Notes rated B (low) (sf)

European Residential Loan Securitization 2019-PL1 DAC:
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated B (high) (sf)

Miravet 2019-1:
-- Class B Notes rated A (high) (sf)
-- Class C Notes rated BBB (high) (sf)
-- Class D Notes rated BB (high) (sf)
-- Class E Notes rated BB (sf)

Mulcair Securities DAC:
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)

Residential Mortgage Securities 31 Plc:
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BB (high) (sf)
-- Class F1 Notes rated B (sf)

Rochester Financing No.2 Plc:
-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated BB (sf)

Roundstone Securities No.1 DAC:
-- Class D Notes rated A (high) (sf)
-- Class E Notes rated BBB (sf)

Shamrock Residential 2019-1 DAC:
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (low) (sf)
-- Class E Notes rated BB (low) (sf)
-- Class F Notes rated B (sf)
-- Class G Notes rated B (low) (sf)

Stratton Mortgage Funding 2019-1 plc:
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated B (high) (sf)

Together Asset Backed Securitization 1 Plc:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated BBB (low) (sf)

Together Asset Backed Securitization 2018-1 Plc:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)

Together Asset Backed Securitization 2019-1 Plc:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)

Trinidad Mortgage Securities 2018-1 plc:
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated BB (sf)
-- Class F Notes rated B (high) (sf)

UBI SPV Group 2016 S.r.l.:
-- Class A Notes rated A (low) (sf)

DBRS Morningstar also rates several tranches issued in the context
of these transactions that it did not place Under Review with
Negative Implications. DBRS Morningstar considers the senior
tranches, typically rated in the AAA (sf) or AA (sf) ranges, to be
generally less impacted as a result of the adjustments applied in
DBRS Morningstar's analysis based on the current economic
environment, DBRS Morningstar's moderate macroeconomic scenarios as
of June 1, 2020. (see
https://www.dbrsmorningstar.com/research/361867/global-macroeconomic-scenarios-june-update),
and an assessment of sustainable performance as a consequence of
the Coronavirus Disease (COVID-19) pandemic.

KEY RATING DRIVERS AND CONSIDERATIONS

On May 5, 2020, DBRS Morningstar released its commentary "European
RMBS Transactions' Risk Exposure to Coronavirus (COVID-19) Effect"
(https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect)
where DBRS Morningstar discussed the overall risk exposure of the
RMBS sector to the coronavirus and provided a framework for
identifying the transactions that are more at risk and likely to be
affected by the fallout of the pandemic on the economy. The primary
conclusion is that in the short term, mortgage payment holidays can
lead to reduced cash flows, while longer-term credit effects may
include higher levels of delinquencies, defaults, and losses.
Considering the framework, the aforementioned tranches placed Under
Review with Negative Implications are generally those secured by
asset pools with high levels of restructured loans, reperforming
loans or past delinquencies, refinancing risk exposure, or high
concentrations of self-employed borrowers.

DBRS Morningstar typically endeavors to resolve the status of
ratings Under Review with Negative Implications as soon as
appropriate. If heightened market uncertainty and volatility
persist, DBRS Morningstar may extend the Under Review status for a
longer period of time.

Notes: All figures are in Euros or British pound sterling unless
otherwise noted.



                           *********


S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

Copyright 2020.  All rights reserved.  ISSN 1529-2754.

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